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Do hedging instruments stabilize markets?
Wagener, Florian; Brock, William; Hommes, Cars - Society for Computational Economics - SCE - 2004
There is a general argument saying that adding derivative securities (options) to a financial market makes the market …
Persistent link: https://www.econbiz.de/10005132781
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Pricing problems of perpetual Bermudan options
Muroi, Yoshifumi; Yamada, Takashi - Society for Computational Economics - SCE - 2006
The pricing problem of options with an early exercise feature, such as American options, is one of the important topics in mathematical finance. The pricing formulas for American options, however, have not been found in general and the numerical methods are required to derive the price of these...
Persistent link: https://www.econbiz.de/10005342951
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Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index
Schleicher, Christoph; Hurd, Matthew; Salmon, Mark - Society for Computational Economics - SCE - 2005
We model the joint distribution between the euro-sterling and the dollar-sterling exchange rate using option-implied markginal distributions that are connected via a copula function. We then derive univariate distributions for the simpliefied sterling effective exchange rate index (ERI). Our...
Persistent link: https://www.econbiz.de/10005343054
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A Partial Equilibrium Model of Option Markets
Leisen, Dietmar P.J.; Judd, Kenneth L. - Society for Computational Economics - SCE - 2001
This paper uses an asymptotically valid expansion to derive explicitly agent's individual demand schedules and then the equilibrium allocations in options. Agents derive financial and non-tradeable income over time; they can only partially offset the latter using bonds and stocks and the option...
Persistent link: https://www.econbiz.de/10005345628
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Merton-style option pricing under regime switching
Driffill, John; Kenc, Turalay; Sola, Martin - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706597
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Asymmetric Jump Processes: Option Pricing Implications
Dupoyet, Brice - Society for Computational Economics - SCE - 2004
This article proposes and tests a convenient, easy to use closed-form solution for the pricing of a European Call option where the underlying asset is subject to upward and downward jumps displaying separate distributions and probabilities of occurrence. The setup presented in this article lays...
Persistent link: https://www.econbiz.de/10005537613
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Heterogeneous Preferences and the Representative Investor
Niehaus, Frank - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005537672
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Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility
Chiarella, Carl; Musti, Silvana - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005537692
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Investment and Discovery: Market coordination when investing in projects with endogenous payoffs
Goldbaum, David - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345398
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Pricing the CBT T-Bonds Futures
Abdallah, Ramzi Ben; Ameur, Hatem Ben; Breton, Michèle - Society for Computational Economics - SCE - 2006
The aim of this paper is to propose a numerical method to price the Chicago Board of Trade Treasury-bond futures. This … that can handle all the delivery rules embedded in the CBOT T-bond futures, interpreted here as an American-style interest … rate derivative. Our pricing procedure is a backward numerical algorithm combining Dynamic Programming (DP), approximation …
Persistent link: https://www.econbiz.de/10005132589