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Analyses of retirement benefits with options

Lin, Chung-gee; Yang, Wei-ning; Chen, Shu-chuan - In: Economic modelling 36 (2014), pp. 130-135

Persistent link: https://www.econbiz.de/10010412430

Options pricing by Monte Carlo simulation, binomial tree and BMS model : a comparative study

Bendob, Ali; Bentouir, Naima - In: Journal of banking and financial economics 1 (2019) 11, pp. 79-95

testing the effectiveness of the most popular options pricing models , which are the Monte Carlo simulation method, the … categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation …

Persistent link: https://www.econbiz.de/10012115106

An Efficient Rare Event Simulation-Based Methodology for Pricing and Risk Management of Financial Derivatives

Clark, Ephraim; Kontosakos, Vasileios; Mitra, Sovan; … - 2022

and accurate simulation due to fundamental issues in small probability estimations. In this paper, we propose a simulation …

Persistent link: https://www.econbiz.de/10013406014

The Foresight Bias in Monte-Carlo Pricing of Options with Early

Fries, Christian - EconWPA - 2005

compound options if the exercise criteria is calculated by the same Monte-Carlo simulation as the exercise values. The standard … approach to remove the foresight bias is to use two independent Monte-Carlo simulations: One simulation is used to estimate the …-Carlo simulation and may be inadequate for Bermudan options with many exercise dates (for which the foresight bias may become a …

Persistent link: https://www.econbiz.de/10005125051

Efficient numerical pricing of American call options using symmetry arguments

Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 2/59, pp. 1-26

regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …

Persistent link: https://www.econbiz.de/10012022212

Affine Model of Inflation-Indexed Derivatives and Inflation Risk Premium

Ho, Hsiao-Wei - 2012

This paper proposes an affine-based approach which jointly captures the nominal interest rate, the real interest rate, and the inflation risk premium to price inflation-indexed derivatives, including zero-coupon inflation-indexed swaps, year-on-year inflation-indexed swaps, inflation-indexed...

Persistent link: https://www.econbiz.de/10013113849

Pricing a Credit-Linked Note on a CDX Tranche

Chertok, Daniel L. - 2012

A credit-linked note (CLN) on a tranche of the CDX index (partially) protects the holder against default losses in that tranche. The holder receives a specified redemption amount at note maturity. The note is priced using market spread quotes for a matching CDS on this tranche

Persistent link: https://www.econbiz.de/10013098210

Temperature Modeling in the Weather Derivative Pricing

Lee, Jeo - 2012

This paper examines the theoretically obtained prices with values based on temperature data in the Isle of Man and the UK. We have also seen that the simulated temperature trajectories do not appear to include entire seasons where the temperature remains cooler than normal. Anecdotally we have...

Persistent link: https://www.econbiz.de/10013107672

Derivative Pricing and Hedging in Asynchronous Markets

Jordinson, Christopher - 2013

We consider the problem of how to price and hedge derivatives on underlyings that trade on exchanges with no overlap in opening hours. For a simple two-stock model we derive the dynamics of closing prices, show how they can be simulated efficiently and what value we should put into pricing...

Persistent link: https://www.econbiz.de/10013085397

Pricing and Mitigation of Counterparty Credit Exposures

Capponi, Agostino - 2013

We analyze the market price of counterparty risk and develop an arbitrage-free pricing valuation framework, inclusive of collateral mitigation. We show that the adjustment is given by the sum of option payoff terms, depending on the netted exposure, i.e. the difference between the on-default...

Persistent link: https://www.econbiz.de/10013086928

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