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Black Scholes Pricing and Dynamic Hedging

Gikhman, Ilya I. - 2016

In this short notice, we present structure of the perfect hedging. Closed form formulas clarify the fact that Black-Scholes (BS) portfolio which provides perfect hedge only at initial moment. Holding portfolio over a certain period implies additional cash flow, which could not be imbedded in BS...

Persistent link: https://www.econbiz.de/10013000876

Stock, Implied, Local Volatilities and Black Scholes Pricing

Gikhman, Ilya I. - 2017

In this paper we present a critical point on connections between stock volatility, implied volatility, and local volatility. The essence of the Black Sholes pricing model is based on assumption that option piece is formed by no arbitrage portfolio. Such assumption effects the change of the real...

Persistent link: https://www.econbiz.de/10012950779

Pricing of American Options

Gikhman, Ilya I. - 2017

In this paper, we present somewhat alternative point of view on early exercised American options. The standard … valuation of the American options the exercise moment is defined as one, which guarantees the maximum value of the option. We … papers [3]-[7]. Our idea is that the exercise moment of the American call/put options is defined by maximum/minimum value of …

Persistent link: https://www.econbiz.de/10012955060

Black Scholes Pricing Concept

Gikhman, Ilya I. - 2015

In some papers it have been remarked that derivation of the Black Scholes Equation (BSE) contains mathematical ambiguities. In particular there are two problems which can be raise by accepting Black Scholes (BS) pricing concept. One is technical derivation of the BSE and other the pricing...

Persistent link: https://www.econbiz.de/10013020357

Comments on Option Pricing

Gikhman, Ilya I. - 2016

derivation of the BSE can be eliminated. We pay attention to use options as hedging instruments. We develop a new approach to …

Persistent link: https://www.econbiz.de/10012986060

A Supplement to Remark on Local Volatility

Gikhman, Ilya I. - 2011

accurate forecast of options pricing and one can check that it is a quite significant business in financial world. In this …

Persistent link: https://www.econbiz.de/10013124197

Discrete Space-Time Options Pricing

Gikhman, Ilya I. - 2012

In this paper we represent alternative approach for exotics options valuation problem. We study the time-space discrete …

Persistent link: https://www.econbiz.de/10013099215

Option Pricing Revisited

Gikhman, Ilya I. - 2013

Persistent link: https://www.econbiz.de/10013091458

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2016

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. An extensive model specification analysis reveals that...

Persistent link: https://www.econbiz.de/10011410916