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Rogers, L.C.G.; Stapleton, E.J. - In: Finance and Stochastics 2 (1997) 1, pp. 3-17

We discuss here an alternative interpretation of the familiar binomial lattice approach to option pricing, illustrating … pricing of American put options. It has often been observed that if one tries to price a barrier option using a binomial … option price as a function of time-to-go which are a common feature of binomial lattice pricing. …

Persistent link: https://www.econbiz.de/10005390674

Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model

Chiarella, Carl; Kwon, Oh Kang - In: Finance and Stochastics 5 (2001) 2, pp. 237-257

In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morton [16] term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations. These transformations generalise the Markovian systems...

Persistent link: https://www.econbiz.de/10005390682

Connecting discrete and continuous path-dependent options

Glasserman, Paul; Kou, S.G.; Broadie, Mark - In: Finance and Stochastics 3 (1999) 1, pp. 55-82

correction terms enable us to use closed-form solutions for continuous option prices to approximate their discrete counterparts …

Persistent link: https://www.econbiz.de/10005390710

Superreplication in stochastic volatility models and optimal stopping

Frey, RØdiger - In: Finance and Stochastics 4 (2000) 2, pp. 161-187

arises in the pricing of American-type derivatives. Our proof is based on probabilistic arguments. We study the minimality of …

Persistent link: https://www.econbiz.de/10005390718

A model of financial market with several interacting assets. Complete market case

Steblovskaya, Victoria; Albeverio, Sergio - In: Finance and Stochastics 6 (2002) 3, pp. 383-396

equivalent martingale measure, absence of arbitrage and completeness are given. In the case of a complete market the pricing of …

Persistent link: https://www.econbiz.de/10005613408

Risk minimization under transaction costs

Guasoni, Paolo - In: Finance and Stochastics 6 (2002) 1, pp. 91-113

We study the general problem of an agent wishing to minimize the risk of a position at a fixed date. The agent trades in a market with a risky asset, with incomplete information, proportional transaction costs, and possibly constraints on strategies. In particular, this framework includes the...

Persistent link: https://www.econbiz.de/10005613414

Quantile hedging

FÃllmer, Hans; Leukert, Peter - In: Finance and Stochastics 3 (1999) 3, pp. 251-273

In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...

Persistent link: https://www.econbiz.de/10005613416

An analysis of a least squares regression method for American option pricing

Protter, Philip; Clément, Emmanuelle; Lamberton, Damien - In: Finance and Stochastics 6 (2002) 4, pp. 449-471

Recently, various authors proposed Monte-Carlo methods for the computation of American option prices, based on least …

Persistent link: https://www.econbiz.de/10005613445

Local martingales and the fundamental asset pricing theorems in the discrete-time case

Jacod, J.; Shiryaev, A.N. - In: Finance and Stochastics 2 (1998) 3, pp. 259-273

This paper is devoted to giving simpler proofs of the two fundamental theorems of asset pricing theory, in iscrete …

Persistent link: https://www.econbiz.de/10005613446

Stochastic volatility, jumps and hidden time changes

Yor, Marc; Madan, Dilip B.; Geman, Hélyette - In: Finance and Stochastics 6 (2002) 1, pp. 63-90

Stochastic volatility and jumps are viewed as arising from Brownian subordination given here by an independent purely … Brownian motion with drift attaining the level of the variation of the time changed process. We also introduce and solve in …

Persistent link: https://www.econbiz.de/10005613455

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