Similar Search Results

Simple formulas for pricing and hedging European options in the finite moment log-stable model

Aguilar, Jean-Philippe; Korbel, Jan - In: Risks : open access journal 7 (2019) 2/36, pp. 1-14

We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed.

Persistent link: https://www.econbiz.de/10012019316

Sparse modeling approach to the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities

Guterding, Daniel - In: Risks : open access journal 11 (2023) 5, pp. 1-24

We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates terminal density and option prices. Using a discretization of the terminal density, we write these integral equations as...

Persistent link: https://www.econbiz.de/10014332042

Calendar spread exchange options pricing with Gaussian random fields

Hainaut, Donatien - In: Risks : open access journal 6 (2018) 3, pp. 1-33

Most of the models leading to an analytical expression for option prices are based on the assumption that underlying asset returns evolve according to a Brownian motion with drift. For some asset classes like commodities, a Brownian model does not fit empirical covariance and autocorrelation...

Persistent link: https://www.econbiz.de/10011890768

A note on the impact of parameter uncertainty on barrier derivatives

Escobar, Marcos; Panz, Sven - In: Risks : open access journal 4 (2016) 4, pp. 1-25

This paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study parameter uncertainty and the risk...

Persistent link: https://www.econbiz.de/10011556565

It takes two to Tango : estimation of the zero-risk premium strike of a call option via joint physical and pricing density modeling

Höcht, Stephan; Madan, Dilip B.; Schoutens, Wim; … - In: Risks : open access journal 9 (2021) 11, pp. 1-19

It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one receives. If so, the option bears a...

Persistent link: https://www.econbiz.de/10012704022

Optimal stopping and utility in a simple modelof unemployment insurance

Anquandah, Jason S.; Bogachev, Leonid V. - In: Risks : open access journal 7 (2019) 3/94, pp. 1-41

Managing unemployment is one of the key issues in social policies. Unemployment insurance schemes are designed to cushion the financial and morale blow of loss of job but also to encourage the unemployed to seek new jobs more proactively due to the continuous reduction of benefit payments. In...

Persistent link: https://www.econbiz.de/10012126434

Transformations of telegraph processes and their financial applications

Pogorui, Anatoliy A.; Sviščuk, Anatolij; … - In: Risks : open access journal 9 (2021) 8, pp. 1-21

In this paper, we consider non-linear transformations of classical telegraph process. The main results consist of deriving a general partial differential Equation (PDE) for the probability density (pdf) of the transformed telegraph process, and then presenting the limiting PDE under Kac's...

Persistent link: https://www.econbiz.de/10012612392

American options on high dividend securities : a numerical investigation

Rotondi, Francesco - In: Risks : open access journal 7 (2019) 2/59, pp. 1-20

as within its most common extensions (the jump-diffusion, the stochastic volatility and the stochastic interest rates …

Persistent link: https://www.econbiz.de/10012019000

An optional semimartingales approach to risk theory

Shahrokhabadi, Mahdieh Aminian; Melnikov, Alexander; … - In: Risks : open access journal 13 (2025) 4, pp. 1-27

This paper aims to develop optional semimartingale methods in risk theory to allow for a larger class of risk models. Optional semimartingales are left-continuous with right-limit stochastic processes defined on a probability space where the usual conditions - completeness and right-continuity...

Persistent link: https://www.econbiz.de/10015408385

A new approach to build a successful straddle strategy : the analytical option navigator

Rustamov, Orkhan; Aliyev, Fuzuli; Ajayi, Richard; … - In: Risks : open access journal 12 (2024) 7, pp. 1-19

based on the superior volatility forecast for analyzing historical data. We extend the current litearure by measuring the … volatility of an underlying asset in the last predefined period and comparing the actual volatility in currency with historical … volatility in currency to make predictions of implied volatility. We calculated stock price volatility through an optimal holding …

Persistent link: https://www.econbiz.de/10014637162