Showing 1 - 10 of 95
We introduce a tractable class of non-affine price processes with multifrequency stochastic volatility and jumps. The specifi cations require few fixed parameters and deliver fast option pricing. One key ingredient is a tight link between jumps and volatility regimes, as asset pricing theory...
Persistent link: https://www.econbiz.de/10010505458
Persistent link: https://www.econbiz.de/10001544306
Persistent link: https://www.econbiz.de/10001544315
Persistent link: https://www.econbiz.de/10001683385
Persistent link: https://www.econbiz.de/10003189948
Persistent link: https://www.econbiz.de/10013401806
This MSc thesis proposes the analysis of high frequency ODAX options during October 2001. It consists of three chapters investigating respectively market activity, arbitrage opportunities and performance of various implied volatility surfaces.
Persistent link: https://www.econbiz.de/10015218252
The need to strengthen the macroprudential orientation of financial regulatory and supervisory frameworks stays a priority for financial and real healthy. Stability financial threatened with endogenous and exogenous risks translating crises, hence it has to a healthy regulation for the reduction...
Persistent link: https://www.econbiz.de/10015256990
Black et Scholes ont proposé en 1973 un modèle de marché financier qui conduit à une formule simple pour calculer le prix d'une option européenne sur un actif boursier. Bien que les formules de Black-Scholes soient explicites, le modèle repose sur certaines hypothèses qui ne correspondent...
Persistent link: https://www.econbiz.de/10015257349
The need to strengthen the macroprudential orientation of financial regulatory and supervisory frameworks stays a priority for financial and real good health. Stability financial is threatened with endogenous and exogenous risks translating crises, hence it has to a healthy regulation for the...
Persistent link: https://www.econbiz.de/10015255406