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Correlation as a Pricing Factor for Oil Derivatives
Six, Pierre - 2012
The goal of our paper is to show how correlation between convenience yield and commodity spot price must be and can be integrated to valuate commodity derivatives. This incorporation can be done in addition to usual factors: market prices of risk (Casassus and Collin-Dufresne, 2005) and/or...
Persistent link: https://www.econbiz.de/10013103546
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GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model
Dang, Duy-Minh - 2011
We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of exotic cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel pricing of long-dated foreign exchange (FX)...
Persistent link: https://www.econbiz.de/10013133913
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Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities
Swishchuk, Anatoliy V. - 2009
We consider a semi-Markov modulated market consisting of a riskless asset or bond, B, and a risky asset or stock, S, whose dynamics depend on a semi-Markov process x. Using the martingale characterization of semi-Markov processes, we note the incompleteness of semi-Markov modulated markets and...
Persistent link: https://www.econbiz.de/10014207748
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Jumps in Commodity Markets
Nguyen, Duc Binh Benno - 2019
This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show...
Persistent link: https://www.econbiz.de/10012900597
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Jump contagion among stock market indices : evidence from option markets
Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021
panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose …, time and space amplification of jumps in option markets. We develop a semi-parametric estimation procedure employing a … finite-sample performance. Our empirical results reveal evidence of jump contagion in option markets, both from the US to …
Persistent link: https://www.econbiz.de/10012650140
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Predictable Dynamics in Implied Volatility Surfaces from OTC Currency Options
Chalamandaris, George - 2010
Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices …
Persistent link: https://www.econbiz.de/10013150628
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Lockdowns as Options
van Wijnbergen, Sweder - 2021
and eventual effectiveness of vaccines confers a real option value to lockdown strategies that delay the incidence of a …
Persistent link: https://www.econbiz.de/10013228442
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Does the World Smile Together? A Network Analysis of Global Index Option Implied Volatilities
Han, Qian; Ryu, Doojin; Chen, Maggie; Tang, Jing - 2021
trend, at-the-money option implied volatility and interest rate term spread, are the key determinants of implied volatility …
Persistent link: https://www.econbiz.de/10013234005
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Lockdowns as Options
van Wijnbergen, Sweder - 2022
effectiveness of vaccines confers a real option value to lockdown strategies that delay the incidence of a pandemic given a …
Persistent link: https://www.econbiz.de/10013309853
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Option-Implied Libor Rate Expectations Across Currencies
Gebbia, Nick - 2016
, euros, and US dollars as implied by option prices. I apply Breeden and Litzenberger's (1978) result regarding the … relationship between option prices and implied probabilities for the underlying to estimate full probability density functions for …
Persistent link: https://www.econbiz.de/10013210457