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Hedge Portfolios in Markets with Price Discontinuities
Cheang, Gerald H.L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008
We consider a market consisting of multiple assets under jump-diffusion dynamics with European style options written on these assets. It is well-known that such markets are incomplete in the Harrison and Pliska sense. We derive a pricing relation by adopting a Radon-Nikodym derivative based on...
Persistent link: https://www.econbiz.de/10004984596
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Hedge Portfolios in Markets with Price Discontinuities
Cheang, Gerald H. L. - 2008
We consider a market consisting of multiple assets under jump-diffusion dynamics with European style options written on these assets. It is well-known that such markets are incomplete in the Harrison and Pliska sense. We derive a pricing relation by adopting a Radon-Nikodym derivative based on...
Persistent link: https://www.econbiz.de/10012724447
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Evaluation of derivative security prices in the Heath Jarrow-Morton framework as path integrals using fast fourier transform techniques
Chiarella, Carl; Hassan, Nadima el - 1997
Persistent link: https://www.econbiz.de/10000985681
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Estimating interest rate futures model in the Heath-Jarrow-Morton framework
Bhar, Ramaprasad - In: Advances in Pacific Basin financial markets 4 (1998), pp. 211-226
Persistent link: https://www.econbiz.de/10001250661
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Derivative security pricing : techniques, methods and applications
Chiarella, Carl; He, Xue-zhong; Nikitopoulos, Christina … - 2015
Persistent link: https://www.econbiz.de/10010505260
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Pricing American options under regime switching using method of lines
Chiarella, Carl; Nikitopoulos, Christina Sklibosios; … - 2016
Persistent link: https://www.econbiz.de/10011777915
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Volatility swaps and volatility options on discretely sampled realized variance
Lian, Guanghua; Chiarella, Carl; Kalev, Petko S. - In: Journal of economic dynamics & control 47 (2014), pp. 239-262
Persistent link: https://www.econbiz.de/10010485855
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Approximate hedging of options under jump-diffusion processes
Mina, Karl Friedrich; Cheang, Gerald H. L.; Chiarella, Carl - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10011403772
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Pricing range notes within Wishart affine models
Chiarella, Carl; De Fonseca, José; Grasselli, Martino - In: Insurance / Mathematics & economics 58 (2014), pp. 193-203
Persistent link: https://www.econbiz.de/10010437564
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The evaluation of American compound option prices under stochastic volatility and stochastic interest rates
Chiarella, Carl; Kang, Boda - In: The journal of computational finance 17 (2013) 1, pp. 71-92
Persistent link: https://www.econbiz.de/10010337816