Narrow search
Showing 1 - 10 of 271
Cover Image
Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong
Peeters, Bas; Dert, Cees; Lucas, André - 2003
Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …
Persistent link: https://www.econbiz.de/10011334345
Cover Image
Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong
Peeters, Bas; Dert, Cees; Lucas, André - 2003
Persistent link: https://www.econbiz.de/10001884326
Cover Image
Mixed hitting - time models
Abbring, Jaap H. - 2007
Persistent link: https://www.econbiz.de/10003609106
Cover Image
Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation
Jiang, George J.; Sluis, Pieter J. van der - 1998
While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the Black-Scholes model, the empiricalimplications of the SV models on option pricing have not been adequately tested.The purpose of this paper is to first estimate a multivariate SV...
Persistent link: https://www.econbiz.de/10011284060
Cover Image
Mixed hitting-time models
Abbring, Jaap H. - 2009
We study a mixed hitting-time (MHT) model that specifies durations as the first time a Lévy process - a continuous-time process with stationary and independent increments - crosses a heterogeneous threshold. Such models are of substantial interest because they can be reduced from...
Persistent link: https://www.econbiz.de/10011372965
Cover Image
Asset pricing in incomplete markets : valuing gas storage capacity
Zhao, Lin; Wijnbergen, Sweder van - 2015
hedging product for the spot market, and the demand for this product is high when the market becomes risky: more risk averse …
Persistent link: https://www.econbiz.de/10011333083
Cover Image
A comparison of biased simulation schemes for stochastic volatility models
Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - 2008 - This version: February 6, 2008
When using an Euler discretisation to simulate a mean-reverting square root process, one runs into the problem that while the process itself is guaranteed to be nonnegative, the discretisation is not. Although an exact and efficient simulation algorithm exists for this process, at present this...
Persistent link: https://www.econbiz.de/10011349176
Cover Image
Optimal Fourier inversion in semi-analytical option pricing
Lord, Roger; Kahl, Christian - 2007 - This version: 10th May 2007
At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...
Persistent link: https://www.econbiz.de/10011349177
Cover Image
Why the rotation count algorithm works
Lord, Roger; Kahl, Christian - 2006 - This version: July 17th, 2006
The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all of its extensions, involve multivalued functions such as the complex logarithm. If we restrict the logarithm to its principal branch, as is done in most software packages,...
Persistent link: https://www.econbiz.de/10011349189
Cover Image
Solving penalised American options for jump diffusions using the POST algorithm
Hessing, Jean-Claude; Lange, Rutger-Jan; Ralph, Daniel - 2022
This article establishes the Poisson optional stopping times (POST) method by [22] as a near-universal method for solving liquidity-constrained American options, or, equivalently, penalised optimal-stopping problems. In this setup, the decision maker is permitted to "stop", i.e. exercise the...
Persistent link: https://www.econbiz.de/10012817150