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Pricing of the European Options by Spectral Theory
Dell'Era Mario, M.D. - Volkswirtschaftliche Fakultät, … - 2008
We discuss the efficiency of the spectral method for computing the value of the European Call Options, which is based upon the Fourier series expansion. We propose a simple approach for computing accurate estimates. We consider the general case, in which the volatility is time dependent, but it...
Persistent link: https://www.econbiz.de/10005015585
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Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
Calvo-Garrido, Maria del Carmen; Pascucci, Andrea; … - Volkswirtschaftliche Fakultät, … - 2012
In this paper, we address the mathematical analysis and numerical solution of a model for pricing a defined benefit pension plan. More precisely, the benefits received by the member of the plan depend on the average salary and early retirement is allowed. Thus, the mathematical model is posed as...
Persistent link: https://www.econbiz.de/10009647449
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Pricing of Double Barrier Options by Spectral Theory
Dell'Era Mario, M.D. - Volkswirtschaftliche Fakultät, … - 2008
We propose to discuss the efficiency of the spectral method for computing the value of Double Barrier Options. Using this method, one may write the option price as a Fourier series, with suitable coefficients. We propose a simple approach for its computing. One consider the general case, in...
Persistent link: https://www.econbiz.de/10008565438
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On option pricing in illiquid markets with random jumps
El-khatib, Youssef; Hatemi-J, Abdulnasser - Volkswirtschaftliche Fakultät, … - 2013
One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading of the underlying asset does not affect the price of that asset. This asumption can be fulfilled only in perfectly liquid markets. Since most markets are illqiud, this asumption might be too...
Persistent link: https://www.econbiz.de/10011112996
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Strategic asset allocation and intertemporal demands: with commodities as an asset class
Su, Yongyang; Lau, Marco Chi Keung - Volkswirtschaftliche Fakultät, … - 2010
This paper analyzes the role of commodities in the process of strategic asset allocation, with an attempt of computing … the weight of commodities relative to traditional assets in a multi-period portfolio choice problem and understanding the … commodities in the long horizons, even when they have access to foreign equity markets, for example, foreign stock market. Our …
Persistent link: https://www.econbiz.de/10008693540
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The Economics of Financial Derivative Instruments
NWAOBI, GODWIN C - Volkswirtschaftliche Fakultät, … - 2008
The phenomenal growth of derivative markets across the globe indicates their impact on the global financial scene. As the securities markets continue to evolve, market participants, investors and regulators are looking at different way in which the risk management and hedging needs of investors...
Persistent link: https://www.econbiz.de/10005621718
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The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data
Bicchetti, David; Maystre, Nicolas - Volkswirtschaftliche Fakultät, … - 2012
This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...
Persistent link: https://www.econbiz.de/10011107807
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Swapping Headline for Core Inflation: An Asset Liability Management Approach
Fulli-Lemaire, Nicolas; Palidda, Ernesto - Volkswirtschaftliche Fakultät, … - 2012
volatility for the latter and creates a drive for investing in commodities as a hedge for the spread between both inflation … intermediation of market makers which could price the derivative based on the cross-hedging potential of commodities. …
Persistent link: https://www.econbiz.de/10011113786
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Integrating Multiple Commodities in a Model of Stochastic Price Dynamics
Paschke, Raphael; Prokopczuk, Marcel - Volkswirtschaftliche Fakultät, … - 2007
only impact subsets of the commodities considered. To demonstrate the economic consequences of our integrated approach, we …
Persistent link: https://www.econbiz.de/10005626834
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Seasonal Unit Roots and Structural Breaks in agricultural time series: Monthly exports and domestic supply in Argentina
Mendez Parra, Maximiliano - Volkswirtschaftliche Fakultät, … - 2015
domestic supply of three agricultural commodities in Argentina between 1994 and 2008, which observe the patterns of seasonality …Monthly time-series data based on agricultural commodities tend to present strong and particular patterns of … seasonality. The presence of zero values in some of the seasons is not explained by the absence of reporting but is the result of …
Persistent link: https://www.econbiz.de/10011266121