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Managing Financial Risk by Using Derivatives : A Study of United Arab Emirate Listed Companies

Said, Ali - 2017

and have problems ranging from illiquidity of trading to lack of theoretical development regarding modeling …

Persistent link: https://www.econbiz.de/10012951444

Non-Parametric Pricing of Long-Dated Volatility Derivatives Under Stochastic Interest Rates

Joshi, Mark S. - 2015

Although the effect of interest rate stochasticity can safely be ignored for short-dated exchange traded volatility derivatives, this is not the case for the kind of long-dated OTC derivatives often used by insurance companies and other financial institutions. We therefore extend existing...

Persistent link: https://www.econbiz.de/10013022607

Model-Free Methods in Valuation and Hedging of Derivative Securities

Davis, Mark - 2015

In contrast to conventional model-based derivative pricing, a recent stream of research aims to investigate what prices are consistent with absence of arbitrage, given only the current prices of traded options on the same underlying. This paper gives a succinct survey of work in this area. After...

Persistent link: https://www.econbiz.de/10013024521

Hedging Market Risk and Volatility : Evidence from Indian Options Market

Thomas, Sony - 2015

The paper examines the performance of various hedging strategies using Options in the Indian options market. The entire spectrum of option hedging strategies are divided into two categories: 1) Strategies with limited losses and unlimited gains; 2) Strategies with limited losses and limited...

Persistent link: https://www.econbiz.de/10013025217

A Note on Evaluation of Derivatives with Collaterals

Han, Meng - 2015

of the perfectly collateralized derivative (a.k.a. the price by discounting in the collateral rate of the trading …/payoff currency), B) the value adjustment due to the collateral rate difference between the collateral currency and the trading …

Persistent link: https://www.econbiz.de/10013026760

Volatility Derivatives in Practice : Activity and Impact

Mixon, Scott - 2015

the long vega demand of asset managers. For maturities less than one year, VIX futures are far more actively traded and … facilitating trades, we estimate that the long volatility bias of asset managers puts upward pressure on VIX futures prices. Hedge …, the net impact added less than half a volatility point, on average, to nearby VIX futures contracts but added between one …

Persistent link: https://www.econbiz.de/10013029655

Analogy Based Valuation of Commodity Options

Siddiqi, Hammad - 2015

commodity call option is valued in analogy with its underlying futures contract, where the underlying futures price follows …

Persistent link: https://www.econbiz.de/10013031127

Is the Information Obtained from European Options on Equally Weighted Baskets Enough to Determine the Prices of Exotic Derivatives Such as Worst of Options?

Marabel Romo, Jacinto - 2015

In recent years there has been a remarkable growth of multi-asset options. These options exhibit sensitivity to the volatility of the underlying assets, as well as to their correlations. The call versus call is a product commonly used to trade correlation within the inter-dealer broker markets....

Persistent link: https://www.econbiz.de/10013031257

Extending the Black-Scholes Option Pricing Theory to Account for an Option Market Maker's Funding Costs

Lou, Wujiang - 2015

An option market maker incurs funding costs when carrying and hedging inventory. To hedge a net long delta inventory, for example, she pays a fee to borrow stock from the security lending market. Because of haircuts, she posts additional cash margin to the lender which needs to be financed at...

Persistent link: https://www.econbiz.de/10013033978

The Small-Maturity Heston Forward Smile

Jacquier, Antoine (Jack) - 2015

In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the Heston model as the maturity approaches zero. We prove that the forward smile for out-of-the-money options explodes and compute a closed-form high-order expansion detailing the...

Persistent link: https://www.econbiz.de/10013035837