Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Alberto Bueno-Guerrero"'
Publikováno v:
Mathematics, Vol 12, Iss 1, p 82 (2023)
We introduce a novel option pricing model that features stochastic interest rates along with an underlying price process driven by stochastic string shocks combined with pure jump Lévy processes. Substituting the Brownian motion in the Black–Schol
Externí odkaz:
https://doaj.org/article/d8db125efbdb41b0854a2daad693234f
Publikováno v:
Risks, Vol 10, Iss 10, p 188 (2022)
We study power exchange options written on zero-coupon bonds under a stochastic string term-structure framework. Closed-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding expr
Externí odkaz:
https://doaj.org/article/3815bdeec14d4c55b8a75a259ee58cde
Publikováno v:
The Journal of Derivatives. 30:119-143
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0c5abfd49a1ab6bba43d88cec48fb071
https://doi.org/10.3905/jod.2022.1.168
https://doi.org/10.3905/jod.2022.1.168
Autor:
Alberto Bueno-Guerrero
Publikováno v:
Studies in Economics and Finance. 37:134-142
Purpose This paper aims to study the conditions for the hedging portfolio of any contingent claim on bonds to have no bank account part. Design/methodology/approach Hedging and Malliavin calculus techniques recently developed under a stochastic strin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::772530ad883532679f001872f2f6f96a
https://doi.org/10.1108/sef-02-2019-0058
https://doi.org/10.1108/sef-02-2019-0058
Autor:
Alberto Bueno-Guerrero
Publikováno v:
The Journal of Derivatives. 27:32-48
We consider the Black-Scholes and Heston models and generalize them to stochastic interest rates and maturity-dependent volatilities. In the Black-Scholes case, we solve the extended model and provide a concrete form for the term structure of volatil
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bdb7c002f3708d155c2c14d25ab7c6bd
https://doi.org/10.3905/jod.2019.1.078
https://doi.org/10.3905/jod.2019.1.078
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cfdd99e731723063daa72251fac1ca2f
https://doi.org/10.2139/ssrn.3878105
https://doi.org/10.2139/ssrn.3878105
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9a96031d2d8eb2c38eb4025df4cf7735
https://doi.org/10.2139/ssrn.3805555
https://doi.org/10.2139/ssrn.3805555
Autor:
Alberto Bueno-Guerrero
Publikováno v:
Chaos, Solitons & Fractals. 155:111726
We present an axiomatic formulation of the Option Pricing Theory for interest rates, completely analogous to axiomatic Quantum Mechanics. The role of the wave function is played in the financial theory by discounted zero-coupon bond prices. The theor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::23e1d236d4b596d1aa51d483fbe5d917
https://doi.org/10.1016/j.chaos.2021.111726
https://doi.org/10.1016/j.chaos.2021.111726
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 559:125103
We develop a Gaussian stochastic string model that provides closed-form expressions for the prices of caps and swaptions that, under certain conditions, reduce to Black (1976) formulas. We also propose a stochastic string LIBOR market model that gene
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7683cf391f822ad6cf0aa5eaa327c2fe
https://doi.org/10.1016/j.physa.2020.125103
https://doi.org/10.1016/j.physa.2020.125103
Autor:
Alberto Bueno-Guerrero
Publikováno v:
SSRN Electronic Journal.
We consider the Black and Scholes (1973) and Heston (1993) models and we generalize them to stochastic interest rates and maturity-dependent volatilities. In the Black-Scholes case we solve the extended model and provide a concrete form for the term
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a0a890138275f22cd8acb8a71c192774
https://doi.org/10.2139/ssrn.3192823
https://doi.org/10.2139/ssrn.3192823