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Evaluation of the reverse mortgage option in Korea : a long straddle perspective
Choi, Kyung Jin; Lim, Byungkwon; Park, Jaehwan - In: International Journal of Financial Studies : open … 8 (2020) 3/55, pp. 1-14
This study explored the option value embedded in a reverse mortgage in Korea through an empirical analysis, using the … Black-Scholes option-pricing model. The value of a reverse mortgage is affected by the variation in house prices. However … maturity, on the option value of a reverse mortgage. The sensitivity results of the key variables supported economic rationales …
Persistent link: https://www.econbiz.de/10012291906
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Valuation of no-negative-equity guarantees with a lower reflecting barrier
Thomas, R. Guy - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 1, pp. 115-143
Persistent link: https://www.econbiz.de/10012505604
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Can 'High Costs' Justify Weak Demand for the Home Equity Conversion Mortgage?
Davidoff, Thomas - 2015
Home Equity Conversion Mortgages ("HECMs'') implicitly bundle put options on borrowers' homes with non-defaultable credit lines. Put proceeds are bequeathable and insure longevity and home prices. Credit use is elective, so the put's expected net present value bounds HECM's value to borrowers...
Persistent link: https://www.econbiz.de/10013036494
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Demand-based option pricing
Garleanu, Nicolae (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003726854
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Modeling, pricing and risk management of power derivatives
Wilhelm, Martina (contributor) - 2007
Persistent link: https://www.econbiz.de/10003645214
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Essays on basket options hedging and irreversible investment valuation
Su, Xia - 2008
Persistent link: https://www.econbiz.de/10003740774
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Pension regulation and the market value of pension liabilities : a contigent claims analysis using Parisian options
Broeders, Dirk; Chen, An - 2008
Persistent link: https://www.econbiz.de/10003762542
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Calibration risk for exotic options
Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2006
Option pricing models are calibrated to market data of plain vanillas by minimization of an error functional. From the economic viewpoint, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different...
Persistent link: https://www.econbiz.de/10003324181
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Barrier option hedging under constraints : a viscosity approach
Bentahar, Imen (contributor); Bouchard, Bruno (contributor) - 2006
We study the problem of finding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constraint to lie in a closed convex domain. In the context of a Brownian diffusion model, we provide a PDE...
Persistent link: https://www.econbiz.de/10003324353
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The convergence of binomial trees for pricing the American put
Joshi, Mark S. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003797784