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~subject:"Option trading"
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Option trading
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650
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ECONIS (ZBW)
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11
Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon
;
Zheng, Wen-Jie
;
Lin, Chao-Yang
;
Lin, …
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
Saved in:
12
The Effects on Implied Volatility by Testing Separately an Option and a Swap Contract and Then Integrating Them in a Swaption. Evidence From the Danish Option Market
Guirguis, Michel
-
2021
A standardized swap contract involves the exchange of principals, regular coupon payments and return back of the principal in addition to the last interest payment at the expiration of the swap agreement. The most common contracts are plain vanilla interest rate, commodity or foreign exchange...
Persistent link: https://www.econbiz.de/10013232489
Saved in:
13
An Introduction to Derivatives and Asset Pricing : A Conceptual Framework
Ohoukoh, Kokou
-
2021
This paper provides an introduction to derivative products and markets. It also reviews the basic conceptual framework for asset pricing. Derivative products and markets are defined and insight into asset pricing is provided. This is based on assumptions of no-arbitrage and frictionless markets....
Persistent link: https://www.econbiz.de/10013250381
Saved in:
14
CMS spread options
Hagan, Patrick S.
;
Lesniewski, Andrew
;
Skoufis, G. E.
; …
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1809-1824
Persistent link: https://www.econbiz.de/10012696777
Saved in:
15
Speed-up credit exposure calculations for pricing and risk management
Glau, Kathrin
;
Pachón, Ricardo
;
Pötz, Christian
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 481-499
Persistent link: https://www.econbiz.de/10012483835
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16
Recursive Algorithms for Pricing Discrete Variance Options and Volatility Swaps Under Time-Changed Lèvy Processes
Zheng, Wendong
-
2017
We propose robust numerical algorithms for pricing discrete variance options and volatility swaps under general time-changed Lèvy processes. Since analytic pricing formulas of these derivatives are not available, some of the earlier pricing methods use the quadratic variation approximation for...
Persistent link: https://www.econbiz.de/10012973000
Saved in:
17
About long-term cross-currency Bermuda swaption pricing
Erkan, Bünyamin
;
Prigent, Jean-Luc
- In:
Computational economics
56
(
2020
)
1
,
pp. 239-262
Persistent link: https://www.econbiz.de/10012272028
Saved in:
18
Barndorff-Nielsen and Shephard model : oil hedging with variance swap and option
SenGupta, Indranil
;
Wilson, William W.
;
Nganje, William
- In:
Mathematics and financial economics
13
(
2019
)
2
,
pp. 209-226
Persistent link: https://www.econbiz.de/10012055793
Saved in:
19
The impacts of overseas market shocks on the CDS-option basis
Park, Yuen Jung
;
Kutan, Ali Mustafa
;
Ryu, Doojin
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 622-636
Persistent link: https://www.econbiz.de/10012120141
Saved in:
20
Volatility Swaps and Volatility Options on Discretely Sampled Realized Variance
Lian, Guanghua
-
2014
Volatility swaps and variance options are financial products written on discretely sampled realized variance. Actively traded in over-the-counter markets, these products are priced often by a continuously sampled approximation to simplify the computations. This paper presents an analytical...
Persistent link: https://www.econbiz.de/10013063027
Saved in:
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