Search Results - subject:"multiasset"

Lead-Lag Effects When Prices Reveal Cross-Security Information

Säfvenblad, Patrik - Economics Institute for Research (SIR), … - 1997

information, which gives the model strong support over alternative specifications of multi-asset securities markets, such as the …

Persistent link: https://www.econbiz.de/10005649147

Learning the True Index Level: Index Return Autocorrelation in an REE Auction Market

Säfvenblad, Patrik - Economics Institute for Research (SIR), … - 1997

This paper develops and tests implications of cross-security information aggregation on index return autocorrelation. In the model, prices are realised individually and simultaneously in REE auction markets, then realigned to take information revealed in other prices into account. This...

Persistent link: https://www.econbiz.de/10005649184

Risk bubbles and market instability

Marsili, Matteo; Raffaelli, Giacomo - In: Physica A: Statistical Mechanics and its Applications 370 (2006) 1, pp. 18-22

We discuss a simple model of correlated assets capturing the feedback effects induced by portfolio investment in the covariance dynamics. This model predicts an instability when the volume of investment exceeds a critical value. Close to the critical point the model exhibits dynamical...

Persistent link: https://www.econbiz.de/10010589145

A discrete Itô calculus approach to He’s framework for multi-factor discrete markets

Akahori, Jirô - In: Asia-Pacific Financial Markets 12 (2005) 3, pp. 273-287

Persistent link: https://www.econbiz.de/10005684910

The Valuation of Multiple Asset American Options under Jump Diffusion Processes

Ziogas, A.; Cheang, G.; Chiarella, C. - Society for Computational Economics - SCE - 2005

We consider American versions of multiple asset options when the underlying assets follow jump-diffusion processes, for example exchange options and max-options. We consider various representations of the option value and in particular apply Fourier transform techniques to the integro-partial...

Persistent link: https://www.econbiz.de/10005537461

A Series Solution for Bermudan Options

Evers, Ingmar - In: Applied Mathematical Finance 12 (2005) 4, pp. 337-349

This paper presents closed-form expressions for pricing Bermudan options in terms of an infinite series of standard solutions of the Black-Scholes equation. These standard solutions are combined for successive exercise dates using backward induction. At each exercise date, the optimal exercise...

Persistent link: https://www.econbiz.de/10005639874

Multi-asset barrier options and occupation time derivatives

Wong, Hoi Ying; Kwok, Yue-Kuen - In: Applied Mathematical Finance 10 (2003) 3, pp. 245-266

A general framework is formulated to price various forms of European style multi-asset barrier options and occupation … illustrated whereby multi-asset option price formulas can be deduced in a systematic manner as extensions from those of their one …-asset counterparts. The formulation has been applied successfully to derive the analytic price formulas of multi-asset options with …

Persistent link: https://www.econbiz.de/10005495415

Tropics in finance - a conditional expectation approach to value Asian, basket and spread options

Beißer, Jochen - 2001

Persistent link: https://www.econbiz.de/10001659448

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