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Persistent link: https://www.econbiz.de/10009327366
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
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
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
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
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
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 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
Successful risk management strategies for agribusiness firms are contingent on the ability to accurately forecast basis. There has been substantial research on the actual use of basis forecasts, yet little research has been conducted on actually forecasting basis. This study evaluates the effect...
Persistent link: https://www.econbiz.de/10005503396
We derive a new hedge ratio based on weighted expected utility. Weighted expected utility is a generalization of expected utility that permits non-linear probability weights. Generally speaking weighted expected utility hedge ratios are less than minimum variance hedge ratios and larger than...
Persistent link: https://www.econbiz.de/10005503804