Showing 1 - 10 of 13
Observing that pure discount projection curves are now based on a variety of tenors leads us to enquire into the possibility of theoretically deriving tenor specific zero coupon bond prices. The question then also arises on how to construct tenor specific prices for all financial contracts....
Persistent link: https://www.econbiz.de/10010575478
Postulating additivity of bid and ask prices for claims comonotone with a long or short stock position, two pricing processes are identified from data on bid and ask prices for options. It is observed that there are two separate put call parity relations in place, with the ask price for call...
Persistent link: https://www.econbiz.de/10010752445
Markets are modeled as passively accepting a convex cone of cash flows that contain the nonnegative cash flows. Different markets are modeled using different cones that reflect the clientele of the market. Conditions are established to exclude the possibility of arbitrage between markets....
Persistent link: https://www.econbiz.de/10009245355
We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a number of widely used models. In particular, we use the...
Persistent link: https://www.econbiz.de/10010552940
We present a method of moments approach to pricing double barrier contracts when the underlying is modelled by a polynomial jump-diffusion. By general principles the price is linked to certain infinite dimensional linear programming problems. Subsequently approximating these by finite...
Persistent link: https://www.econbiz.de/10009393843
No abstract received.
Persistent link: https://www.econbiz.de/10009393844
In this paper, we develop an algorithm to calculate the prices and Greeks of barrier options in a hyper-exponential additive model with piecewise constant parameters. We obtain an explicit semi-analytical expression for the first-passage probability. The solution rests on a randomization and an...
Persistent link: https://www.econbiz.de/10008461848
In this paper, we study a new class of tractable diffusions suitable for model's primitives of interest rates. We consider scalar diffusions with scale s′(x) and speed m(x) densities discontinuous at the level x*. We call that family of processes Self Exciting Threshold (SET) diffusions....
Persistent link: https://www.econbiz.de/10004971808
In this paper, we will explain how to perfectly hedge under Heston's stochastic volatility model with jump-to-default, which is in itself a generalization of the Merton jump-to-default model and a special case of the Heston model with jumps. The hedging instruments we use to build the hedge will...
Persistent link: https://www.econbiz.de/10005060233
This paper provides a comparison of the exponential copula Lévy model with the classical Gaussian copula model for the pricing of CDO-squared tranches. Several approximations of the recursive approach are considered: a full Monte Carlo approximation, a multivariate Normal approximation of the...
Persistent link: https://www.econbiz.de/10008512503