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A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate

Gong, Pu - 2017

developed for pricing real estate derivatives with stochastic interest rate. To obtain a computationally simple binomial tree … used to enhance the convergence of the discrete binomial lattice models to continuous models when pricing European options …. In addition, our smooth convergent models can also be applied to pricing American options …

Persistent link: https://www.econbiz.de/10012946171

Tractable Hedging: An Implementation of Robust Hedging Strategies

Branger, Nicole; Mahayni, Antje - 2004

This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays within a given interval. We focus on the effects of...

Persistent link: https://www.econbiz.de/10010316082

Is Jump Risk Priced? What We Can (and Cannot) Learn From Option Hedging Errors

Branger, Nicole; Schlag, Christian - 2004

When options are traded, one can use their prices and price changes to draw inference about the set of risk factors and their risk premia. We analyze tests for the existence and the sign of the market prices of jump risk that are based on option hedging errors. We derive a closed-form solution...

Persistent link: https://www.econbiz.de/10010316083

American options with multiple priors in continuous time

Vorbrink, Jörg - 2011

We investigate American options in a multiple prior setting of continuous time and determine optimal exercise strategies form the perspective of an ambiguity averse buyer. The multiple prior setting relaxes the presumption of a known distribution of the stock price process and captures the idea...

Persistent link: https://www.econbiz.de/10010320001

Noise Traders? Trigger Rates, FX Options, and Smiles

Pierdzioch, Christian - 2000

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts …

Persistent link: https://www.econbiz.de/10010260624

Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?

Branger, Nicole; Schlag, Christian - 2004

the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing …

Persistent link: https://www.econbiz.de/10010263305

When are Static Superhedging Strategies Optimal?

Branger, Nicole; Esser, Angelika; Schlag, Christian - 2004

This paper deals with the superhedging of derivatives on incomplete markets, i.e. with portfolio strategies which generate payoffs at least as high as that of a given contingent claim. The simplest solution to this problem is in many cases a static superhedge, i.e. a buy-and-hold strategy...

Persistent link: https://www.econbiz.de/10010263307

The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts

Li, Jing; Szimayer, Alexander - 2010

pricing measures. We provide numerical examples investigating fixed-term, endowment insurance contracts and their combinations … including various guarantee features. The pricing partial differential equation for the upper and lower price bounds is solved … by finite difference methods. For our contracts and choice of parameters the pricing and hedging is fairly robust with …

Persistent link: https://www.econbiz.de/10010270425

Polar sets of anisotropic Gaussian random fields

Söhl, Jakob - 2009

This paper studies polar sets of anisotropic Gaussian random fields, i.e. sets which a Gaussian random field does not hit almost surely. The main assumptions are that the eigenvalues of the covariance matrix are bounded from below and that the canonical metric associated with the Gaussian random...

Persistent link: https://www.econbiz.de/10010270700

Estimation of the characteristics of a Lévy process observed at arbitrary frequency

Kappus, Johanna; Reiß, Markus - 2010

A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions...

Persistent link: https://www.econbiz.de/10010270819