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Deconstructing Correlation : Valuing Basket Options with Asset Smiles and Correlation Smiles
Austing, Peter
-
2022
To properly value a basket option, one should construct a joint probability density correctly repricing all asset smiles and correlation smiles. At first sight, the task seems formidable. However, by reformulating the problem, we can develop a model that is simple and fast, admitting analytic or...
Persistent link: https://www.econbiz.de/10013297391
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2
Practical Solution of Partial Differential Equations in Finance With Numerical Examples and Python Code
Austing, Peter
-
2022
It is now possible to numerically solve partial differential pricing equations so that vanilla option values are exactly recovered. The finite difference scheme is not hard to implement, but it must be done exactly correctly to achieve results to machine precision. We provide a step by step...
Persistent link: https://www.econbiz.de/10013492376
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Finite Difference Schemes with Exact Recovery of Vanilla Option Prices
Austing, Peter
-
2020
Finite difference schemes are the preferred tool for solving the partial differential equations that arise when pricing exotic derivatives. The schemes available up to now can achieve at most O(∆t<sup>2</sup>) accuracy in time and O(∆x<sup>2</sup>) accuracy in space when recovering instrument prices. We show how...
Persistent link: https://www.econbiz.de/10012842483
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4
Model-Free Valuation of Barrier Options
Austing, Peter
-
2020
We provide an analytic model for valuing continuous barrier options. The model is manifestly arbitrage-free, exactly fits the implied volatility smile, and produces prices consistent with an underlying stochastic volatility dynamic
Persistent link: https://www.econbiz.de/10012855707
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5
Repricing the Cross Smile : An Analytic Joint Density
Austing, Peter
-
2020
Derivative contracts on multiple foreign exchange rates must be priced to avoid arbitrage by contracts on the cross-rates. Given the triangle of smiles for two underlyings and their cross, we provide an analytic formula for a joint probability density such that all three vanilla markets are...
Persistent link: https://www.econbiz.de/10012857409
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Derivatives pricing - Repricing the cross smile: An analytic joint density - Derivatives contracts on multiple foreign exchange rates must be priced to avoid arbitrage by contracts...
Austing, Peter
- In:
Risk : managing risk in the world's financial markets
24
(
2011
)
7
,
pp. 72-76
Persistent link: https://www.econbiz.de/10009186431
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