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risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so …
Persistent link: https://www.econbiz.de/10005787624
In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: 1. Pricing savings plans which incorporate a … choice of linkage. 2. Pricing convertible bonds. 3. Pricing employee stock ownership plans 4. Pricing options where the …
Persistent link: https://www.econbiz.de/10010281218
In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: <p> 1. Pricing savings plans which incorporate … a choice of linkage. <p> 2. Pricing convertible bonds. <p> 3. Pricing employee stock ownership plans <p> 4. Pricing …
Persistent link: https://www.econbiz.de/10005423785
overcome the highlighted liquidity issues, we propose first to test the generaliza- tion of Gray and Whaley (1999) reset option … introduced by François-Heude and Yousfi (2013). The main idea is to reset the strike price PXA option to a new strike price given …
Persistent link: https://www.econbiz.de/10010799085
enhance liquidity, we test the generalized reset GR option of François-Heude and Yousfi (2013) in the PXA options' market. Our …
Persistent link: https://www.econbiz.de/10011113793
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …
Persistent link: https://www.econbiz.de/10011605102
applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …
Persistent link: https://www.econbiz.de/10009248844
The observed prices of out-of-the money put options seem too high given standardderivative pricing models. One possible … explanation is a Peso problem: crashes (forwhich the payoff of a put is high) are taken into account for pricing, but are under … derived pricing restriction controllingfor the peso problem is violated.In this paper, we argue that the approach presented by …
Persistent link: https://www.econbiz.de/10005867630
building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …
Persistent link: https://www.econbiz.de/10011259157
pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …
Persistent link: https://www.econbiz.de/10011260721