Zobrazeno 1 - 10
of 55
pro vyhledávání: '"Interest rate option"'
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
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
Publikováno v:
SSRN Electronic Journal.
With the forthcoming introduction of SOFR benchmark rates in the US, market participants will need to adjust their interest rate option models to accommodate a variety of idiosyncrasies of the SOFR rate. The materiality of these changes for quoted op
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3232c23db17273f7071f160f6b50ecf8
https://doi.org/10.2139/ssrn.3700446
https://doi.org/10.2139/ssrn.3700446
Publikováno v:
Economic Modelling. 65:129-137
This paper investigates how Central Bank of Brazil (CBB) actions influence market uncertainty. We consider two kinds of actions: the monetary policy decision about the interest rate target and the pure communication event of this decision published o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::996d8237f3d00a66979fa5d8d4e321c9
https://doi.org/10.1016/j.econmod.2017.05.016
https://doi.org/10.1016/j.econmod.2017.05.016
Autor:
Satoshi Terakado
Publikováno v:
SSRN Electronic Journal.
Under the recent negative interest rate situation, the Bachelier model has been attracting attention and adopted for evaluating the price of interest rate options. In this paper, we will derive an option pricing formula based on the Bachelier model a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::91c4361ef00857cb2e76701aced4ee6e
https://doi.org/10.2139/ssrn.3428994
https://doi.org/10.2139/ssrn.3428994
Publikováno v:
Lecture Notes in Computer Science ISBN: 9783030227494
ICCS (5)
ICCS (5)
We derive numerical series representations for option prices on interest rate index for affine jump-diffusion models in a stochastic jump intensity framework with an adaptation of the Fourier-cosine series expansions method, focusing on the European
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c495903664feacba6f5b0a762fe9644f
https://doi.org/10.1007/978-3-030-22750-0_69
https://doi.org/10.1007/978-3-030-22750-0_69
Publikováno v:
Journal of Computational and Applied Mathematics. 297:98-116
We propose a second order accurate numerical finite difference method to replace the classical schemes used to solve PDEs in financial engineering. We name it Modified Fully Implicit method. The motivation for doing so stems from the accuracy loss wh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::42c228342c96252255313991c64262e3
https://doi.org/10.1016/j.cam.2015.10.025
https://doi.org/10.1016/j.cam.2015.10.025
Autor:
Cathy Yi-Hsuan Chen, I-Doun Kuo
Publikováno v:
International Review of Economics & Finance. 37:125-137
This paper finds that the presence of interest rate smile can be fully explained neither by the model misspecification nor by the buying pressure. First, volatility smile obtained from alternative interest rate models is not flat and interest rate sm
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::48b55844103d5fec34f889b9bd5a04d9
https://doi.org/10.1016/j.iref.2014.11.018
https://doi.org/10.1016/j.iref.2014.11.018
Publikováno v:
CDC
We devised a method for pricing path dependent derivatives whose theory is new. It is based on a time and value discretization of the interest rate process, in conjunction with prices of Arrow-Debreu securities with unitary lifetime obtained via the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1df48cfa179429530771c14b986df092
https://doi.org/10.1109/cdc.2017.8264105
https://doi.org/10.1109/cdc.2017.8264105