Zobrazeno 1 - 10
of 268
pro vyhledávání: '"91B25"'
Publikováno v:
Research in International Business and Finance, Volume 70, Part A, 102333 (2024)
National football teams increasingly issue tradeable blockchain-based fan tokens to strategically enhance fan engagement. This study investigates the impact of 2022 World Cup matches on the dynamic performance of each team's fan token. The event stud
Externí odkaz:
http://arxiv.org/abs/2403.15810
One the one hand, rough volatility has been shown to provide a consistent framework to capture the properties of stock price dynamics both under the historical measure and for pricing purposes. On the other hand, market price of volatility risk is a
Externí odkaz:
http://arxiv.org/abs/2403.11897
Autor:
Bayer, Christian, Hammouda, Chiheb Ben, Papapantoleon, Antonis, Samet, Michael, Tempone, Raúl
Efficiently pricing multi-asset options poses a significant challenge in quantitative finance. The Monte Carlo (MC) method remains the prevalent choice for pricing engines; however, its slow convergence rate impedes its practical application. Fourier
Externí odkaz:
http://arxiv.org/abs/2403.02832
Autor:
Marah, Zakaria
In this paper we examine the problem of valuing an exotic derivative known as the American passport option where the underlying is driven by a L\'evy process. The passport option is a call option on a trading account. We derive the pricing equation,
Externí odkaz:
http://arxiv.org/abs/2307.16649
We consider the computation by simulation and neural net regression of conditional expectations, or more general elicitable statistics, of functionals of processes $(X, Y )$. Here an exogenous component $Y$ (Markov by itself) is time-consuming to sim
Externí odkaz:
http://arxiv.org/abs/2211.17005
Autor:
Gaß, Maximilian, Glau, Kathrin
Two essential quantities for the analysis of approximation schemes of evolution equations are stability and convergence. We derive stability and convergence of fully discrete approximation schemes of solutions to linear parabolic evolution equations
Externí odkaz:
http://arxiv.org/abs/2102.10651
Autor:
Raval, Vimal, Jacquier, Antoine
We revisit the foundational Moment Formula proved by Roger Lee fifteen years ago. We show that when the underlying stock price martingale admits finite log-moments E[|log(S)|^q] for some positive q, the arbitrage-free growth in the left wing of the i
Externí odkaz:
http://arxiv.org/abs/2101.08145
We introduce generalized filtration with which we can represent situations such as some agents forget information at some specific time. The filtration is defined as a functor to a category Prob whose objects are all probability spaces and whose arro
Externí odkaz:
http://arxiv.org/abs/2011.08531
Autor:
Agrawal, Nishant, Hu, Yaozhong
In this paper, we obtain the existence, uniqueness and positivity of the solution to delayed stochastic differential equations with jumps. This equation is then applied to model the price movement of the risky asset in a financial market and the Blac
Externí odkaz:
http://arxiv.org/abs/2010.04287
XVAs denote various counterparty risk related valuation adjustments that are applied to financial derivatives since the 2007--09 crisis. We root a cost-of-capital XVA strategy in a balance sheet perspective which is key in identifying the economic me
Externí odkaz:
http://arxiv.org/abs/2009.00368