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A remark on static hedging of options written on the last exit time

Imamura, Yuri - In: Review of Derivatives Research 14 (2011) 3, pp. 333-347

Persistent link: https://www.econbiz.de/10009327366

Probability of multiple crossings and pricing of double barrier options

Choe, Geon Ho; Koo, Ki Hwan - In: The North American Journal of Economics and Finance 29 (2014) C, pp. 156-184

This paper derives pricing formulas of standard double barrier option, generalized window double barrier option and chained option. Our method is based on probabilitic approach. We derive the probability of multiple crossings of curved barriers for Brownian motion with drift, by repeatedly...

Persistent link: https://www.econbiz.de/10010931461

Pricing Foreign Equity Options with Stochastic Correlation and Volatility

Ma, Jun - In: Annals of Economics and Finance 10 (2009) 2, pp. 303-327

A new class of foreign equity option pricing model is suggested that not only allows for the volatility but also for the correlation coefficient to vary stochastically over time. A modified Jacobi process is proposed to evaluate risk premium of the stochastic correlation, and a partial...

Persistent link: https://www.econbiz.de/10010554862

Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order

Schlögl, Erik - In: Journal of Economic Dynamics and Control 37 (2013) 3, pp. 611-632

If a probability distribution is sufficiently close to a normal distribution, its density can be approximated by a Gram/Charlier Series A expansion. In option pricing, this has been used to fit risk-neutral asset price distributions to the implied volatility smile, ensuring an arbitrage-free...

Persistent link: https://www.econbiz.de/10011051905

Use of Forward Interest Rates and Forward Exchange Rates for the Valuation of Currency-Interest Rate Derivatives

Brada, Jaroslav - In: Český finanční a účetní časopis 2014 (2014) 1

The article describes the procedures by which you can appreciate the potential receivables and payables, whose size depends on interest rates (reference interest rates e.g. 1M USD LIBOR) or reference exchange rates. The article describes the procedure, which enables to estimate price of...

Persistent link: https://www.econbiz.de/10011194604

An Empirical Analysis of Škoda Co. Equity Options Trading 1928-1938

Vlachý, Jan - In: Politická ekonomie 2014 (2014) 5, pp. 645-661

perfect familiarity with intrinsic valuation and hedging as well as time-value drivers, effectively used since the 19th …

Persistent link: https://www.econbiz.de/10011228252

Option trading: Information or differences of opinion?

Choy, Siu Kai; Wei, Jason - In: Journal of Banking & Finance 36 (2012) 8, pp. 2299-2322

This paper investigates the motive of option trading. We show that option trading is mostly driven by differences of opinion, a finding different from the current literature that attempts to attribute option trading to information asymmetry. Our conclusion is based on three pieces of empirical...

Persistent link: https://www.econbiz.de/10010599668

Die Krise des Bankhauses Baring : ein systembedingter Marktfehler

Juchems, Alexander - In: Ifo Schnelldienst 48 (1995) 08, pp. 22-25

Die Krise des Bankhauses Baring wurde von Spekulationen mit Derivaten, in diesem Fall mit Futures und Optionen ausgelöst. Sie stellt einen Einschnitt in der Entwicklung der Finanzmärkte dar, denn sie hat neue Risiken deutlich gemacht. Um ähnliche - möglicherweise noch weitreichendere -...

Persistent link: https://www.econbiz.de/10005056095

Derivatives usage in risk management by U.S. and German non-financial firms: A comparative survey

Bodnar, Gordon M.; Gebhardt, Günther - Center for Financial Studies - 1998

, firms in the two countries differ notably on issues such as the primary goal of hedging, their choice of instruments, and …

Persistent link: https://www.econbiz.de/10010986461

Evaluation of Different Hedging Strategies for Commodity Price Risks of Industrial Cogeneration Plants

Madlener, Reinhard; Palzer, Andreas; Westner, Günther - Institut für Future Energy Consumer Needs and Behavior … - 2012

In this paper, we design and evaluate eight different strategies for hedging commodity price risks of industrial …-variance portfolio analysis for determining the most efficient hedging strategy. We find that the strate-gy adopted can have a marked …, portfolio optimization shows that a mix of various hedging strategies can further improve the profita-bility of a heat …

Persistent link: https://www.econbiz.de/10010991185

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