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

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 …

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 …

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 …

This paper deals with the option-pricing problem. In the first part of the paper we study in details the discrete … setting of the option-pricing problem usually referred to as the binomial scheme. We highlight basic differences between the … that real world option value at maturity will be bellow chosen number. This probability is a pricing risk of the option …