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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

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

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

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

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

The term structure of the price of variance risk

Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2015

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a...

Persistent link: https://www.econbiz.de/10011303715

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

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

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

Tractable rare disaster probability and options-pricing

Barro, Robert J.; Liao, Gordon Y. - 2019

We derive an option-pricing formula from recursive preference and estimate rare disaster probability. The new options …

Persistent link: https://www.econbiz.de/10012182396