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Accurate & Efficient Pricing of Arithmetic Average Asian Options within the Hull-White Method
Ramprasad, Pratik - 2015
Persistent link: https://www.econbiz.de/10013020217
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A Complete Analytical Solution of the Asian Option Pricing within the Heston Model for Stochastic Volatility : A Probability Density Function Approach
Izmailov, Alexander - 2015
Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies” and “Complete Analytical …://ssrn.com/abstract=2546430.The first ever explicit formulation of the concept of the options' probability density functions within the framework … paper we report complete analytical closed-form results for the European style Asian Options considered within the Heston …
Persistent link: https://www.econbiz.de/10013022328
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Complete Analytical Solution of the American Style Option Pricing with Constant and Stochastic Volatilities : A Probability Density Function Approach
Izmailov, Alexander - 2015
Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies”, “Complete Analytical Solution … paper we report unique analytical results for pricing American Style Options in the presence of both constant and stochastic … volatility (Heston model), enabling complete analytical resolution of all problems associated with American Style Options …
Persistent link: https://www.econbiz.de/10013029750
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Complete Analytical Solution of the Heston Model for Option Pricing and Value-at-Risk Problems : A Probability Density Function Approach
Izmailov, Alexander - 2015
Density Functions of Vanilla Options -- True Value-at-Risk and Option Based Hedging Strategies" and "Complete Analytical …://ssrn.com/abstract=2546430). • In this paper we report similar unique results for pricing options in the presence of stochastic volatility … (Heston model), enabling complete analytical resolution of all problems associated with options considered within the Heston …
Persistent link: https://www.econbiz.de/10013030477
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Complete Analytical Solution of the Asian Option Pricing and Asian Option Value-at-Risk Problems : A Probability Density Function Approach
Izmailov, Alexander - 2015
Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies” (see link 'http …://ssrn.com/abstract=2489601' http://ssrn.com/abstract=2489601).•In this paper we report similar unique results for Asian Options, enabling … complete analytical resolution of all problems associated with Asian Options. •Our discovery of the Asian Option probability …
Persistent link: https://www.econbiz.de/10013030852
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Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedgi...
Izmailov, Alexander - 2015
these analytics in studying vanilla options.• Confirmation of analytical results is presented in the form of Monte Carlo …
Persistent link: https://www.econbiz.de/10013032725
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A probit model for the state of the Greek GDP growth
Degiannakis, Stavros - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 381-392
The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the...
Persistent link: https://www.econbiz.de/10011312197
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The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - 2018
The endo-exo problem lies at the heart of statistical identi fication in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has shown to be useful in discerning exogenous and...
Persistent link: https://www.econbiz.de/10011900335
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Generalized fractional processes with long memory and time dependent volatility revisited
Peiris, M. Shelton; Asai, Manabu - In: Econometrics : open access journal 4 (2016) 3, pp. 1-21
In recent years, fractionally-differenced processes have received a great deal of attention due to their flexibility in financial applications with long-memory. This paper revisits the class of generalized fractionally-differenced processes generated by Gegenbauer polynomials and the ARMA...
Persistent link: https://www.econbiz.de/10011568296