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A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions
Puigvert-Gutiérrez, Josep; Vincent-Humphreys, Rupert - In: Eurasian Economic Review 2 (2012) 1, pp. 1-31
the prices of options on EURIBOR futures. It is the first official and freely available dataset to span the complete … history of EURIBOR futures options, thus comprising over ten years of daily data, from 13 January 1999 onwards. Time series of …
Persistent link: https://www.econbiz.de/10010938253
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Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?
Scharnagl, Michael; Stapf, Jelena - Deutsche Bundesbank - 2014
options on the euro area harmonized index of consumer prices provides us with the full distribution of inflation expectations …
Persistent link: https://www.econbiz.de/10010957128
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Modern methods for hedging the market risk
Laurentiu, MIHAILESCU; Gabriela, POPA - In: Economia. Seria Management 12 (2009) 2 Special, pp. 40-45
The 2008 financial crisis is affecting millions of companies (from small ones up to big corporations) and is one of the hottest topics in all TV deadlines and step by step it starts to be part of our daily reality. The daily reality can be called as “Market instability”: The recent market...
Persistent link: https://www.econbiz.de/10004966416
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On the pricing and hedging of options for highly volatile periods
El-Khatib, Youssef; Hatemi-J, Abdulnasser - Volkswirtschaftliche Fakultät, … - 2013
to make the valuation of options and the underlying hedging strategies during financial crisis more precise. …
Persistent link: https://www.econbiz.de/10011111882
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ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS
Tiberiu, Socaciu; Mirela, Danubianu; Ioan, Maxim; … - In: Annals of Faculty of Economics 4 (2009) 1, pp. 1044-1048
In our paper we build a reccurence from generalized Garman equation and discretization of 3-dimensional domain. From reccurence we build an algorithm for computing values of an option based on time, momentan volatility of support and value of support on a
Persistent link: https://www.econbiz.de/10008512025
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A Black-Scholes Schrödinger option price: ‘bit’ versus ‘qubit’
Haven, Emmanuel - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 201-206
The celebrated Black-Scholes differential equation provides for the price of a financial derivative. The uncertainty environment of such option price can be described by the classical ‘bit’: a system with two possible states. This paper argues for the introduction of a different uncertainty...
Persistent link: https://www.econbiz.de/10011061471
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Homotopy analysis of the magnetohydrodynamic flow and heat transfer of a second grade fluid in a porous channel
Raftari, Behrouz; Parvaneh, Foroud; Vajravelu, Kuppalapalle - In: Energy 59 (2013) C, pp. 625-632
In this paper, we analyze the MHD (magnetohydrodynamic) flow and heat transfer of a second grade non-Newtonian fluid in a channel with porous wall. HAM (Homotopy analysis method) is used to obtain analytical solutions of the governing system of nonlinear ordinary differential equations. The...
Persistent link: https://www.econbiz.de/10010808326
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Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes
Sakuma, Takayuki; Yamada, Yuji - In: Asia-Pacific Financial Markets 21 (2014) 1, pp. 1-14
exotic derivatives (such as barrier options) directly, although a large volume of exotic derivatives are actively traded in … the current options market. An alternative approach is to solve the corresponding partial integro-differential equation … convergence of our proposed method to the prices of European and down-and-out call options with a few number of terms. Note that …
Persistent link: https://www.econbiz.de/10010866368
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Analytical pricing of American options
Cheng, Jun; Zhang, Jin - In: Review of Derivatives Research 15 (2012) 2, pp. 157-192
Persistent link: https://www.econbiz.de/10010867554
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A semi-analytic pricing formula for lookback options under a general stochastic volatility model
Park, Sang-Hyeon; Kim, Jeong-Hoon - In: Statistics & Probability Letters 83 (2013) 11, pp. 2537-2543
In general, the pricing problems of exotic options in finance do not have analytic solutions under stochastic … investigates a semi-analytic pricing method for lookback options in a general stochastic volatility framework. The resultant …
Persistent link: https://www.econbiz.de/10010709066