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Pricing Derivatives Under A Gains Tax Regime: New Impacts

Wöster, Christoph - 2006

Three years after the seminal work of Black and Scholes on the pricing of European options, Scholes presented a paper in which the impact of taxation on the value of an option is analyzed. We restart this discussion in a simple binomial setting emphasizing the economic principles of replicating...

Persistent link: https://www.econbiz.de/10009452631

The performance of multi-factor term structure models for pricing and hedging caps and swaptions

Driessen, J.J.A.G.; Klaassen, P.; Melenberg, B. - 2000

, in particular, hedging of caps and swaptions. We analyze the influence of the number of factors on the hedging and … the model parameters to obtain the best hedging and pricing results. We use data on interest rates, and cap and swaption … prices from 1995 to 1999. The empirical results on the hedging of caps and swaptions show that, if the number of hedge …

Persistent link: https://www.econbiz.de/10009460130

An empirical study of implied volatility in Australian index option markets

Yang, Qianqian - 2006

With the rapid development of option markets throughout the world, option pricing has become an important field in financial engineering. Among a variety of option pricing models, volatility of underlying asset is associated with risk and uncertainty, and hence is treated as one of the key...

Persistent link: https://www.econbiz.de/10009437996

Time-Changed L´evy Processes and Option Pricing

Carr, Pete; Wu, Liuren - 2002

As is well known, the classic Black-Scholes option pricing model assumes that returns follow Brownian motion. It is widely recognized that return processes differ from this benchmark in at least three important ways. First, asset prices jump, leading to non-normal return innovations. Second,...

Persistent link: https://www.econbiz.de/10009440724

What Type of Process Underlies Options? A Simple Robust Test

CARR, PETER; WU, LIUREN - 2002

We develop a simple robust test for the presence of continuous and discontinuous (jump) components in the price of an asset underlying an option. Our test examines the prices of at-the-money and out-of-the-money options as the option maturity approaches zero. We show that these prices converge...

Persistent link: https://www.econbiz.de/10009440725

Static Hedging of Standard Options

CARR, PETER; WU, LIUREN - 2002

We consider the hedging of derivative securities when the price movement of the underlying asset can exhibit random … short term options. We then apply this spanning relation to the static hedging of long term options with a finite choice of … short term, more liquid options based on a quadrature rule. We use Monte Carlo simulation to determine the hedging error …

Persistent link: https://www.econbiz.de/10009440737

Calculation aspects of the European Rebalanced Basket Option using Monte Carlo methods

Van der Merwe, Carel Johannes - 2010

ENGLISH ABSTRACT: Life insurance and pension funds offer a wide range of products that are invested in a mix ofassets. These portfolios (II), underlying the products, are rebalanced back to predetermined fixedproportions on a regular basis. This is done by selling the better performing assets...

Persistent link: https://www.econbiz.de/10009442047

INCREASING THE ACCURACY OF OPTION PRICING BY USING IMPLIED PARAMETERS RELATED TO HIGHER MOMENTS

Ji, Dasheng; Brorsen, B. Wade - 2000

The inaccuracy of the Black-Scholes formula arises from two aspects: the formula is for European options while most real option contracts are American; the formula is based on the assumption that underlying asset prices follow a lognormal distribution while in the real world asset prices cannot...

Persistent link: https://www.econbiz.de/10009443000

Zur Bewertung von Wetterderivaten als innovative Risikomanagementinstrumente in der Landwirtschaft

Musshoff, Oliver; Odening, Martin; Xu, Wei - 2005

The importance of weather as a production factor in agriculture is well established long time and a significant portion of yield fluctuations is caused by weather risks. Traditionally, farmers have tried to hedge against unfavorable weather using insurance, such as crop insurance. In recent...

Persistent link: https://www.econbiz.de/10009443672

Bewertung und Risikoanalyse variabel verzinslicher Kundengeschäfte: ein kapitalmarktkonsistenter Bewertungsansatz und dessen Analyse

Krombach, Arne - 2011

Variabel verzinsliche Kundengeschäfte repräsentieren einen bedeutenden Teil der Aktiva und Passiva von Banken. Ihre Bewertung und Risikoanalyse ist sowohl für Banken als auch für die Bankenaufsicht anspruchsvoll, da insbesondere das Zusammenspiel zwischen Markt- und Produktzinsen sich als...

Persistent link: https://www.econbiz.de/10009447142

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