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A functional analysis approach to the static replication of European options
Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew - In: Quantitative finance 21 (2021) 4, pp. 637-655
Persistent link: https://www.econbiz.de/10012483843
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Option Pricing Where the Underlying Assets Follow a Gram/Charlier Density of Arbitrary Order
Schlögl, Erik - 2010
the (far less flexible) original model of Black and Scholes (1973), allowing non-trivial higher moments such as skewness …, excess kurtosis and so on to be incorporated into the pricing of exotic options: Generalising the Gram/Charlier Series A … market involving several currencies, can be used to ensure that the volatility smiles for options on the cross exchange rate …
Persistent link: https://www.econbiz.de/10013135174
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Smart Derivative Contracts (Presentation Slides of the 14th Quant Finance Conference)
Fries, Christian P. - 2018
This presentation motivates the concept of smart derivative contracts. Inspired by smart contracts from distributed ledger technology, we define a derivative contract with an automatic termination feature
Persistent link: https://www.econbiz.de/10012909915
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Smart Derivative Contracts (Detaching Transactions from Counterparty Credit Risk : Specification, Parametrisation, Valuation)
Fries, Christian P. - 2019
In this note we describe a smart derivative contract with a fully deterministic termination to remove many of the inefficiencies in collateralized OTC transactions. The automatic termination procedure embedded in the smart contracts replaces the counterparty default by an option right of the...
Persistent link: https://www.econbiz.de/10012899557
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A comparison of implied and realized volatility in the Nordic power forward market
Birkelund, Ole Henrik; Haugom, Erik; Molnár, Peter; … - In: Energy economics 48 (2015), pp. 288-294
Persistent link: https://www.econbiz.de/10011533819
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Was the missing 2013 WASDE missed?
Adjemian, Michael K.; Johansson, Robert C.; McKenzie, … - In: Applied economic perspectives and policy 40 (2018) 4, pp. 653-671
Persistent link: https://www.econbiz.de/10012258296
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Pricing and hedging competitiveness of the tree option pricing models : evidence from India
Singh, Vipul Kumar - In: The journal of asset management 17 (2016) 6, pp. 453-475
Persistent link: https://www.econbiz.de/10011648199
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Is Petrobras options market efficient? : a study using the delta-gamma neutral strategy
Araújo, Gustavo Silva; Ribeiro, Ricardo Alves Carmo - In: Latin American business review : journal of the … 17 (2016) 4, pp. 315-331
Persistent link: https://www.econbiz.de/10011649370
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Market co-movement between credit default swap curves and option volatility surfaces
Shi, Yukun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 82 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013426474
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Stock price default boundary : a Black-Cox model approach
Shi, Yunkun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013455157