Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of …

sell, respectively, at a fixed strike price at a given date. Options areimportant financial instruments used for hedging …Options are financial derivatives that, conditional on the price of an underlyingasset, constitute a right to transfer … the ownership of this underlying. Morespecifically, a European call and put options give their owner the right to buyand …

specifications of the error give rise to different sets of calibrated model parameters and the resulting prices of exotic options …

the performance of simulation studies with the nested logit model. In simulation studies with the nested logit model using … NNNL software (e. g. PROC MDC in SAS(c) ), it must be pointed out that the simulation of the utility function's error terms …

-replication price is given by the cost of the cheapest hedging strategyin which the number of non-freely exchangeable assets is kept …

general setup we discuss and provide an intensive literature review of estimation and simulation techniques. Separate section … allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an …