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The Option Pricing Model and the Risk Factor of Stock

Galai, Dan - 2009

In this paper a joint capital asset pricing model and option pricing model is considered and applied to the derivation of an equity's value and its systematic risk. We first analyze the propreties of the two models and present some newly found properties of the option pricing model. We then...

Persistent link: https://www.econbiz.de/10013155861

Contingent convertible lease modeling and credit risk management

Triki, Ons; Abid, Fathi - In: Financial innovation : FIN 8 (2022), pp. 1-29

contingent lease. Risk-neutral pricing theory and the backward induction method are used to determine the pricing of corporate …

Persistent link: https://www.econbiz.de/10013413113

Method of Iterated Integrals for Solution of Stochastic Integrals with Applications to Monte Carlo Simulation of Stochastic Differential Equations

Amin, Ahsan - 2018

integrand are given by some stochastic differential equation. We also propose numerical simulation of stochastic differential … integrals terms at the initial time of the simulation along with the solution of the stochastic integrals which is found in … terms of Hermite polynomials and variance of the integrals. We apply the method of iterated integrals to simulation of …

Persistent link: https://www.econbiz.de/10012925940

Multilevel Dimension Reduction Monte-Carlo Simulation for High-Dimensional Stochastic Models in Finance

Dang, Duy-Minh - 2015

One-way coupling often occurs in multi-dimensional stochastic models in finance. In this paper, we develop a highly efficient Monte Carlo (MC) method for pricing European options under a N-dimensional one-way coupled model, where N is arbitrary. The method is based on a combination of (i) the...

Persistent link: https://www.econbiz.de/10013029894

Valuation of a Cashflow CDO Without Monte Carlo Simulation

Gallagher, Donal A. - 2009

Unlike tranches of synthetic CDOs, that depend only on the defaults of the underlying securities, tranches of cashflow CDOs also depend on the interest cash flows from the coupons of the securities. Whilst fast, accurate, (semi-)analytic methods exist for pricing synthetic CDO tranches (Hull and...

Persistent link: https://www.econbiz.de/10013156360

Iterative Bregman Algorithm for Monte Carlo Enhancement

Reghai, Adil - 2023

Sampled distributions are used to price, hedge and produce scenarios for derivative products which is essential for risk management. This approach accumulates many types of discretisation errors. These can be linked to data quality input, to calibration algorithms, discretisation in time,...

Persistent link: https://www.econbiz.de/10014256342

Sequential capital investment decision making under extreme cash flow situations : evidence using Monte Carlo simulation

Zhang, Wenqing; Padmanabhan, Prasad; Huang, Chia-Hsing - In: Journal of business economics and management 16 (2015) 5, pp. 877-900

Persistent link: https://www.econbiz.de/10011386652

Dealmaking : using real options and Monte Carlo analysis

Razgaitis, Richard - 2003

Persistent link: https://www.econbiz.de/10001719025

Default probabilities and default correlations

Erlenmaier, Ulrich; Gersbach, Hans - 2001

Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...

Persistent link: https://www.econbiz.de/10010301737

Asset pricing in incomplete markets : valuing gas storage capacity

Zhao, Lin; Wijnbergen, Sweder van - 2015

We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...

Persistent link: https://www.econbiz.de/10011333083