enhance liquidity, we test the generalized reset GR option of François-Heude and Yousfi (2013) in the PXA options' market. Our …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners … report the classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market …

building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …

pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …

of particles driven by correlated Brownian motions is analyzed. The analysis is known to lead one to a study of the …

Gârleanu et al. (RFS 2009) show that a demand pressure phenomenon exists in option markets due to limit to arbitrage …. They assert that if arbitrage is perfect, option demand does not impact option price. In this note we show that there is a … positive relation between the demand for a redundant option and the option price, which is related to the beliefs of …

We develop a new closed-form approximation method for pricing spread options. Numerical analysis shows that our method … upper bounds for digital spread options. Our method enables the accurate pricing of a bulk volume of spread options with …