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Perpetual barrier options in jump-diffusion models
Gapeev, Pavel V. (contributor) - 2006
We present a closed form solution to the perpetual American double barrier call option problem in a model driven by Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the inital irregular optimal stopping problem to an...
Persistent link: https://www.econbiz.de/10003375783
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Investors with too many options?
Dorn, Daniel - 2010
pricing is well understood. The search cost is estimated to average 1% of the amount invested, the same order of magnitude as …
Persistent link: https://www.econbiz.de/10003973343
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Market expectations and option prices : evidence for the Can$/US$ exchange rate
García, Alejandro; Prokopiw, Andrei - 2010
Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods. The authors...
Persistent link: https://www.econbiz.de/10003951236
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Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Brownian motion, an associated "master...
Persistent link: https://www.econbiz.de/10008797695
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Delivery options and convexity in Treasury bond and note futures
Grieves, Robin; Marcus, Alan J.; Woodhams, Adrian - In: Review of financial economics : RFE 19 (2010) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10008652927
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Option strategies : good deals and margin calls
Santa-Clara, Pedro; Saretto, Alessio - In: Journal of financial markets 12 (2009) 3, pp. 391-417
Persistent link: https://www.econbiz.de/10003873553
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Are options on index futures profitable for risk averse investors? : empirical evidence
Jackwerth, Jens Carsten; Kōnstantinidēs, Giōrgos; … - 2008
mispricing ; futures options ; derivatives pricing; stochastic dominance; transaction costs ; market efficiency …
Persistent link: https://www.econbiz.de/10003876987
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A call on Art investments
Kräussl, Roman; Wiehenkamp, Christian - 2010
investors to optimize their exposure to art. For pricing purposes, non-tradability of the art index is acknowledged and option … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who … ; Alternative Investments ; Option Pricing …
Persistent link: https://www.econbiz.de/10003947461
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Collateral Smile
Leippold, Markus; Su, Lujing - 2011
the market. collateral requirements, funding costs, volatility smile, option pricing …
Persistent link: https://www.econbiz.de/10009375107
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Can standard preferences explain the prices of out-of-the-money S&P 500 put options?
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2011
integrated. -- Volatility Smile ; Volatility Smirk ; Implied Volatility ; Option Pricing ; Portfolio Insurance ; Market Risk …
Persistent link: https://www.econbiz.de/10009381331