Narrow search
Showing 1 - 10 of 3,669
Cover Image
Pricing of Derivatives with Stochastically Correlated Underlyings
Büchler, Matthias - 2014
We price derivatives defined for different asset classes with a full stochastic dependence structure. We consider jointly geometric Brownian motions and mean-reversion processes with a a stochastic variance-covariance matrix driven by a Wishart process. These models cannot be treated within the...
Persistent link: https://www.econbiz.de/10013063402
Cover Image
Expected Correlation and Future Market Returns
Buss, Adrian - 2019
Implied correlation, jointly extracted from index and stock options, is a robust predictor of long-term market returns …
Persistent link: https://www.econbiz.de/10012900103
Cover Image
Pricing of Derivatives on Commodity Indices
Rauch, Johannes - 2014
This paper introduces a novel method for pricing commodity index derivatives consistently with market prices of derivatives on single commodities. We discuss the Black, mean-reversion and local volatility pricing models with special attention paid to the parameterization of volatility surfaces....
Persistent link: https://www.econbiz.de/10013065589
Cover Image
Pricing of Forwards and Other Derivatives in Cointegrated Commodity Markets
Benth, Fred Espen - 2014
and correlation in the context of our spot price models based on continuous-time autoregressive moving average dynamics …
Persistent link: https://www.econbiz.de/10013044930
Cover Image
Options on overnight futures
Henrard, Marc P. A. - 2022
With the transitions to overnight benchmarks as the main benchmarks in some currencies, futures based on overnight rates are becoming more common. The most traded futures on overnight rates settle against compounded rates. The pricing of those futures requires some convexity adjustments with an...
Persistent link: https://www.econbiz.de/10013293629
Cover Image
Hedging Pressure and Commodity Option Prices
Cheng, Ing-Haw; Tang, Ke; Yan, Lei - 2021
A new measure of hedging pressure in commodity options markets—commercial hedgers’ net short option exposure—predicts option returns and changes in the slope of implied volatility curves. Puts are more expensive, and calls are cheaper, when values of option hedging pressure are greater....
Persistent link: https://www.econbiz.de/10013211279
Cover Image
A Short Note on LME's Forward Contracts and Options
Sartorelli, Giulio - 2010
We show that LME's (London Metal Exchange) listed forward contracts can be valued using usual formulas for forward contracts and that LME's listed Options, though legally American, are correctly treated as European Options
Persistent link: https://www.econbiz.de/10013143023
Cover Image
An Intuitively Valid Algorithm for Adjusting the Correlation Matrix in Risk Management and Option Pricing
Numpacharoen, Kawee - 2012
Adjusting the correlation matrix plays an important role in risk management as well as option pricing. We usually … adjust the correlation matrix by directly changing the correlation coefficient in the correlation matrix. However, there is a … chance that the adjusted correlation matrix is not valid. In this paper, we present a new algorithm for adjusting the …
Persistent link: https://www.econbiz.de/10013112820
Cover Image
CDO Tranche Analytic Pricing with Subordinator Levy Marshall-Olkin Correlation
Giovannitti, Stefano - 2016
-Olkin credit correlation model. These formulas can be easily evaluated in terms of machine computational time, therefore they are … particularly suitable for the correlation model calibration. To compute the first pricing formula, we assume that the recovery rate …
Persistent link: https://www.econbiz.de/10013001808
Cover Image
On Break-Even Correlation : The Way to Price Structured Credit Derivatives by Replication
Vigneron, Olivier - 2010
the associated replication errors. Therefore, we introduce the concept of 'break-even' correlation (and more generally … 'break-even' correlation matrix), that allow a perfect hedging under the GCM if and only if the underlying single names …
Persistent link: https://www.econbiz.de/10013152429