Narrow search
Showing 1 - 10 of 75,429
Cover Image
On the optimal use of put options under trade restrictions
Bell, Peter N - Volkswirtschaftliche Fakultät, … - 2014
simulation to compare the optimal quantity when the agent maximizes mean-variance utility or Value at Risk over wealth at option …
Persistent link: https://www.econbiz.de/10011274398
Cover Image
Hedging of a Portfolio of Rainfall Insurances using Rainfall Bonds and European Call Options (Bull Spread)
Shah, Anand - 2017
Securitization of the rainfall risk involves pooling of the rainfall contingent insurance policies to issue financial instruments in the capital markets to transfer the rainfall risk from the insurers to the investors. Low income households, especially in the developing countries like India...
Persistent link: https://www.econbiz.de/10012969306
Cover Image
Simulation-based valuation of project finance - Does model complexity really matter?
Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - Lehrstuhl für Finanzmanagement und Kapitalmärkte - 2010
simulation complexity. Thereby, we aim to identify elements of model complexity that are crucial for the model accuracy in a … on the basis of a Monte Carlo simulation. The analysis reveals, among others, the following results: First, quasi … the Monte Carlo simulation are sufficient to obtain stable results. Third, time resolution in the simulation procedure has …
Persistent link: https://www.econbiz.de/10009302690
Cover Image
Enhanced Valuation of European Options Under Jump Processes and Innovative Characterization of Implied Volatility Smile
Dubrana, Ludovic - 2011
An enhanced option pricing framework that makes use of both continuous and discontinuous time paths based on a geometric Brownian motion and Poisson-driven jump processes respectively is performed in order to better fit with real-observed stock price paths while maintaining the analytical...
Persistent link: https://www.econbiz.de/10013118115
Cover Image
European Option Under Cox-Ingersoll-Ross Model for Stochastic Interest Rate
Subramaniam, Shankar - 2013
European option under local volatility and Cox-Ingersoll-Ross model of short rate is computed from one-dimensional partial differential equations: the Black-Scholes equation for option price and the forward Kolmogorov equation for probability transition density. Both the computations are...
Persistent link: https://www.econbiz.de/10013091064
Cover Image
A Transform-Based Method for Pricing Asian Options under General Two-Dimensional Models
Zhang, Weinan; Zeng, Pingping - 2023
We propose a unified transform-based method, which we call the extended double spiral (EDS) method, for pricing arithmetic Asian options under general two-dimensional (2D) models that nest regime-switching Levy models, stochastic volatility (SV) models with Levy jumps, and time-changed Levy...
Persistent link: https://www.econbiz.de/10014350657
Cover Image
Deep Hedging : Learning to Simulate Equity Option Markets
Wiese, Magnus - 2019
We construct realistic equity option market simulators based on generative adversarial networks (GANs). We consider recurrent and temporal convolutional architectures, and assess the impact of state compression. Option market simulators are highly relevant because they allow us to extend the...
Persistent link: https://www.econbiz.de/10012861067
Cover Image
Pricing Asian Options : A Comparison of Numerical and Simulation Approaches Twenty Years Later
Horvath, Akos - 2016
also look into whether today's superior computer environment has changed the relative strength of numerical and simulation … simulation approach be used when sigma^2*T < 0.01 …
Persistent link: https://www.econbiz.de/10012986735
Cover Image
Commodity Asian Option Pricing and Simulation in a 4-Factor Model with Jump Clusters
Brignone, Riccardo; Gonzato, Luca; Sgarra, Carlo - 2022
efficient simulation scheme for the price process, allowing to price the arithmetic counterparts using control variate technique … performances of the proposed simulation scheme on some parameter sets calibrated on real data …
Persistent link: https://www.econbiz.de/10014240555
Cover Image
Multi-Asset Spot and Option Market Simulation
Wiese, Magnus; Wood, Ben; Pachoud, Alexandre; Korn, Ralf; … - 2022
We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows. We address the high-dimensionality of market observed call prices through an arbitrage-free autoencoder that approximates efficient low-dimensional representations of the...
Persistent link: https://www.econbiz.de/10013306676