Zobrazeno 1 - 10
of 868
pro vyhledávání: '"Exotic option"'
Publikováno v:
Electronic Research Archive, Vol 30, Iss 3, Pp 874-897 (2022)
In order to reduce the oscillations of the numerical solution of fractional exotic options pricing model, a class of numerical schemes are developed and well studied in this paper which are based on the 4th-order Padé approximation and 2nd-order wei
Externí odkaz:
https://doaj.org/article/8c838cf6d93a4130ab2134e5a4ce8d06
Publikováno v:
Computation, Vol 11, Iss 2, p 30 (2023)
This paper studies the portfolio selection problem where tradable assets are a bank account, and standard put and call options are written on the S&P 500 index in incomplete markets in which there exist bid–ask spreads and finite liquidity. The pro
Externí odkaz:
https://doaj.org/article/e1186f62a6f4490796348e190db16f7f
Autor:
Markus Hess
Publikováno v:
Modern Stochastics: Theory and Applications, Vol 5, Iss 3, Pp 317-336 (2018)
We investigate the pricing of cliquet options in a jump-diffusion model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a drifted Lévy process entailing a Brownian diffusion component as well as
Externí odkaz:
https://doaj.org/article/b40670961dcd481eb29f40cd8e80e863
Autor:
Markus Hess
Publikováno v:
Modern Stochastics: Theory and Applications, Vol 5, Iss 1, Pp 81-97 (2018)
We investigate the pricing of cliquet options in a geometric Meixner model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a pure-jump Meixner–Lévy process yielding Meixner distributed log-ret
Externí odkaz:
https://doaj.org/article/5fda9adcbf564a068af22697aac19e83
Publikováno v:
TURAN-SAM / TURAN-CSR. 8(30):258-263
Externí odkaz:
https://www.ceeol.com/search/article-detail?id=477888
Publikováno v:
Stochastics
We consider a semimartingale market model when the underlying diffusion has a singular volatility matrix and compute the hedging portfolio for a given payoff function. Recently, the representation problem for such degenerate diffusions as a stochasti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::90854cbe7268cab46ff92f0e4d0b2311
https://doi.org/10.1080/17442508.2022.2150082
https://doi.org/10.1080/17442508.2022.2150082
Publikováno v:
The Journal of Financial Data Science. 4:125-138
A volatility surface is an important tool for pricing and hedging derivatives. The surface shows the volatility that is implied by the market price of an option on an asset as a function of the option's strike price and maturity. Often, market data i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ab081e3f2f7000634f30bbfba916a1f1
https://doi.org/10.3905/jfds.2022.1.093
https://doi.org/10.3905/jfds.2022.1.093
Publikováno v:
GANIT: Journal of Bangladesh Mathematical Society. 41:26-40
In this work, we discuss some very simple and extremely efficient lattice models, namely, Binomial tree model (BTM) and Trinomial tree model (TTM) for valuing some types of exotic barrier options in details. For both these models, we consider the con
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6605f6605f3889015badc6f26b4899e1
https://doi.org/10.3329/ganit.v41i1.55024
https://doi.org/10.3329/ganit.v41i1.55024
Publikováno v:
Applied Economics Letters. 30:302-318
This article proposes climate derivative strategies as an alternative to set up guaranteed prices for agricultural producers with the idea that this market mechanism replaces direct government inte...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9396855cbfa3d2019de1248d07b5c7c3
https://doi.org/10.1080/13504851.2021.1985061
https://doi.org/10.1080/13504851.2021.1985061
Autor:
Sébastien Bossu
Publikováno v:
Applied Mathematical Finance. 28:381-394
The replication of any European contingent claim by a static continuous portfolio of calls and puts, formally proven by Carr and Madan (1998), extends to multi-asset claims with absolutely homogeneous payoff. Using sophisticated tools from integral g
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b70c93d124c09279a48acb27366df9cc
https://doi.org/10.1080/1350486x.2022.2085122
https://doi.org/10.1080/1350486x.2022.2085122