This paper examines a path-dependent contingent claim called the window double barrier option, including standard but … also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are …

correlated Gaussian random variables provides option values more quickly and more accurately than Monte Carlo simulation. …

between continuously and discretely monitored option values can be very large. In this paper, we provide explicit formulae for …

Nous montrons dans cet article que la liquidation d'une option offre des opportunités de manipulation importantes du … cours de l'action sous-jacente. Dans une enchère en fonctions de demande, les positions en option des investisseurs … stratégiques affectent fortement les stratégies d'équilibre. La convexité du paiement de l'option justifie l'utilisation de …

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

We compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches across … a variety of models and hedging methods during the recent credit crisis. Our empirical analysis shows evidence for …-dimensional bottom-up models perform better than simpler top-down models. When it comes to hedging, top-down and regression-based hedging …