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Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the …
Persistent link: https://www.econbiz.de/10012980091
-stochastic volatility (LSV) model. Despite their complexity, autocallable structured notes are the most traded equity-linked exotic …, the commonly-used local volatility (LV) model is overly simplified for pricing and risk management. Given its ability to … match the implied volatility smile and reproduce its realistic dynamics, the LSV model is, in contrast, better suited for …
Persistent link: https://www.econbiz.de/10013491888
This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …
Persistent link: https://www.econbiz.de/10012484130
The term "volatility" applies to changeability: both that which can be measured, such as temperatures and stock prices …, and that which cannot be easily measured, such as affects and emotions. Quantitative financial volatility has typically … between volatility in dance and finance, was a notable exception. Martin focused on derivatives, which played a critical role …
Persistent link: https://www.econbiz.de/10014371936
Motivated by the changing nature of the natural gas industry in the European Union driven by the liberalization process, we focus on pricing of gas swing options. These options are embedded in typical gas sales agreements in the form of offtake flexibility concerning volume and time. The gas...
Persistent link: https://www.econbiz.de/10009152601
intention of reducing volatility, and thus, the option price. We employ the Normal Inverse Gaussian (NIG) and Rough Fractional … Stochastic Volatility (RFSV) models to the cryptocurrency market and using the Black-Scholes as the benchmark model. In doing so …, we intend to capture the extreme characteristics such as jumps and volatility roughness for cryptocurrency price …
Persistent link: https://www.econbiz.de/10013223768
This paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study parameter uncertainty and the risk...
Persistent link: https://www.econbiz.de/10011556565
categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation … method is outperforming when the volatility is lower, while the Black-Sholes model and the Binomial model are outperforming …
Persistent link: https://www.econbiz.de/10012115106
We present a new non-nested approach to computing additive upper bounds for callable derivatives using Monte Carlo simulation. It relies on the regression of Greeks computed using adjoint methods. We also show that it is is possible to early terminate paths once points of optimal exercise have...
Persistent link: https://www.econbiz.de/10013090709
Persistent link: https://www.econbiz.de/10012197036