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Bankrisiko und Risikosteuerung mit Derivaten
Broll, Udo; Welzel, Peter - 2002
We use a model of a bank under perfect competition to examine effects of derivatives for tradeable and non tradeable …
Persistent link: https://www.econbiz.de/10010291696
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Interbank credit exposures and financial stability
Schneorson, Oren - 2022
This paper investigates how interbank credit exposures affect financial stability. Policy makers often see such exposures as undermining stability by exacerbating cascading losses through the financial system. I develop a model that features a trade-off between cascading losses and risk-sharing....
Persistent link: https://www.econbiz.de/10014374282
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The valuation of corporate liabilities: Theory and tests
Ericsson, Jan; Reneby, Joel - 2001
component on top of the default spread structural models are designed to capture. …
Persistent link: https://www.econbiz.de/10010281391
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American Options, Multi-armed Bandits, and Optimal Consumption Plans : A Unifying View
Bank, Peter; Föllmer, Hans - 2003
In this survey, we show that various stochastic optimization problems arising in option theory, in dynamical allocation problems, and in the microeconomic theory of intertemporal consumption choice can all be reduced to the same problem of representing a given stochastic process in terms of...
Persistent link: https://www.econbiz.de/10010296481
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Efficient computation of option price sensitivities for options of American style
Wallner, Christian; Wystup, Uwe - 2004
No front-office software can survive without providing derivatives of option prices with respect to underlying market … computed by binomial trees, finite difference methods or an analytic approximation. Taking derivatives of these prices leads to …
Persistent link: https://www.econbiz.de/10010301711
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Una fórmula alternativa de valuar opciones americanas
Elizondo, Rocio; Padilla, Pablo; Bladt, Mogens - 2009
We give a new way to price American options, using Samuelson's formula. We first obtain the option price corresponding to a European option at time t, weighting it by the probability that the underlying asset takes the value S at time t. This factor is given by the solution of the Fokker-Planck...
Persistent link: https://www.econbiz.de/10010322609
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Superhedging prices of European and American options in a non-linear incomplete market with default
Grigorova, Miryana; Quenez, Marie-Clair; Sulem, Agnès - 2018
market model consists of a risk-free asset and a risky asset driven by a Brownian motion and a compensated default martingale … in a non-linear incomplete market with default. We present the seller's and the buyer's point of view. The underlying … infinitesimal characterization of this price as the minimal supersolution of a constrained BSDE with default. By a form of symmetry …
Persistent link: https://www.econbiz.de/10012042146
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American options on high dividend securities: A numerical investigation
Rotondi, Francesco - In: Risks 7 (2019) 2, pp. 1-20
I document a sizeable bias that might arise when valuing out of the money American options via the Least Square Method proposed by Longstaff and Schwartz (2001). The key point of this algorithm is the regression-based estimate of the continuation value of an American option. If this regression...
Persistent link: https://www.econbiz.de/10013200477
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Joshi's split tree for option pricing
Leduc, Guillaume; Hot, Merima Nurkanovic - In: Risks 8 (2020) 3, pp. 1-26
In a thorough study of binomial trees, Joshi introduced the split tree as a two-phase binomial tree designed to minimize oscillations, and demonstrated empirically its outstanding performance when applied to pricing American put options. Here we introduce a "flexible" version of Joshi's tree,...
Persistent link: https://www.econbiz.de/10013200614
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American option pricing with importance sampling and shifted regressions
Boire, Francois-Michel; Reesor, R. Mark; Stentoft, Lars - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-21
This paper proposes a new method for pricing American options that uses importance sampling to reduce estimator bias and variance in simulation-and-regression based methods. Our suggested method uses regressions under the importance measure directly, instead of under the nominal measure as is...
Persistent link: https://www.econbiz.de/10013201024