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Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility

Mayer, Klaus; Schmid, Thomas; Weber, Florian - 2011

an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …

Persistent link: https://www.econbiz.de/10010305714

The Empirical Performance of Option Based Densities of Foreign Exchange

Keller, Joachim G.; Craig, Ben R. - 2002

vorherzusagen, oder aber nur um den Wert anderer Derivative, die sich auf den gleichen Basiswert beziehen, zu berechnen. Die in …

Persistent link: https://www.econbiz.de/10010295724

Asset Prices and Alternative Characterizations of the Pricing Kernel

Lüders, Erik - 2002

volatility. Hence, they are viable alternatives to the geometric Brownian motion. …

Persistent link: https://www.econbiz.de/10010298111

A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...

Persistent link: https://www.econbiz.de/10010293743

Unifying exotic option closed formulas

Esquível, Manuel L.; Veiga, Carlos; Wystup, Uwe - 2010

This paper aims to unify exotic option closed formulas by generalizing a large class of existing formulas and by setting a framework that allows for further generalizations. The formula presented covers options from the plain vanilla to most, if not all, mountain range exotic options and is...

Persistent link: https://www.econbiz.de/10010301702

(Reflected) Backward Stochastic Differential Equations and Contingent Claims

Kohlmann, Michael - 1999

We review the relations between adjoints of stochastic control problems with the derivative of the value function, and …

Persistent link: https://www.econbiz.de/10010324095

Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface

Fengler, Matthias R.; Wang, Qihua - 2003

Nonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular …. The first step requires to extract implied volatility data from observed option prices, in the second step the actual … and less tractable. In this study, we propose a one-step estimator for the implied volatility surface based on a least …

Persistent link: https://www.econbiz.de/10010296461