This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

credit derivatives in recent years. Possibly the most popular model beside the Gaussian copula for pricing CDO tranches is …

This article studies four transform pricing methods in the context of generalequilibrium (GE) framework. The four … among actuarial literature and practice. The transform pricing methodsoffer a convenient solution to contingent claim … pricing problem when the underlyingrisk exposure cannot be fully hedged. We show analytically that these fourmethods are …

applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …

Three years after the seminal work of Black and Scholes [3] on the pricing of European options,Scholes [18] presented a … influenceof a tax system on a given contract specification. The limit results lead to a pricing formulain closed form suggesting a … used as a base for pricing of complex options under taxation. …

. Originally developed by Cox, Ross, and Rubinsteinto clarify the basic pricing principle of its continuous-time counterpart with …

In the past decades several versions of the binomial model for option pricing, originallyintroduced by COX, ROSS, AND … probabilities may be useful for pricing derivatives such asbarrier options. A simple example is presented to illustrate this idea. …