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The forecasting performance of German stock option densities
Craig, Ben R. (contributor) - 2003
strong negative skewness in the densities. Second, we find evidence for significant differences between the actual density …
Persistent link: https://www.econbiz.de/10001830894
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Worst case pricing of rainbow options
Topper, Jürgen - 2001 - Version October 12, 2001
Options on two underlyings are a common exotic product in the equity and FX derivatives market. The value of these … kinds of options depends on the correlation of the two underlyings. We will present a model to compute a lower bound for the …
Persistent link: https://www.econbiz.de/10011526784
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Strategic option pricing
Bieta, Volker; Broll, Udo; Siebe, Wilfried - 2020
In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset? The traditional answer is obtained with the help of a replicating portfolio by ruling out arbitrage. Instead a two-person...
Persistent link: https://www.econbiz.de/10012264975
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10013261076
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Finite element modeling of exotic options
Topper, Jürgen - 1998
Persistent link: https://www.econbiz.de/10013416417
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Performance-sensitive government bonds : a new proposal for sustainable sovereign debt management
Bank, Matthias; Kupfer, Alexander; Sendlhofer, Rupert - 2011
Persistent link: https://www.econbiz.de/10009542469
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Is financial speculation with agricultural commodities harmful or helpful? : a literature review of current empirical research
Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2012
Persistent link: https://www.econbiz.de/10009705412
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Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? : ein Literaturüberblick zum aktuellen Stand der empirischen Forschung
Will, Matthias Georg; Prehn, Sören; Pies, Ingo; … - 2012
Persistent link: https://www.econbiz.de/10009705422
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The valuation of N-phased investment projects under jump-diffusion processes
Andergassen, Rainer; Sereno, Luigi - 2010
In this paper we consider N-phased investment opportunities where the time evolution of the project value follows a jump-diffusion process. An explicit valuation formula is derived under two different scenarios: in the first case we consider fixed and certain investment costs and in the second...
Persistent link: https://www.econbiz.de/10011739826
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How to intervene in foreign exchange market without buying/selling dollars?
Pal, Sumantra - 2018
foreign exchange reserves by selling dollars to restore stability. Few central banks use currency-options based intervention … to contain volatility and anchor market expectations. In the Indian context, this paper demonstrates that such options …-neutral densities extracted from currency options data, it is demonstrated that certain options-trading strategy can be effective in …
Persistent link: https://www.econbiz.de/10011895488