We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable predictability patterns. Predictability in implied volatilities is expected due to the learning behavior of agents in option markets. In particular, we explore the possibility that...

可以發現，中國版本的這篇文章：'http://ssrn.com/abstract=731544' http://ssrn.com/abstract=731544.The change of numeraire gives very important computational simplification in option pricing. This technique reduces the number of sources of risks that need to be accounted for and so...

The price of an index option depends on the distributions of the marginals and the dependence structure. In this paper we assume that the stocks composing the index can be described by a multivariate Black & Scholes model, which is the most straightforward extension of the one-dimensional Black...

In The Ascent of Money (2008), the Harvard financial historian Niall Ferguson refers to the Black-Scholes option pricing model 'as a black box' which is beyond comprehension of anyone except the mathematically astute and leaves most investors baffled. In this paper, we develop a heuristic proof...

The risk neutral measure is identified as a symmetric location-scale family of distribution in the local regime of the λ model. A partial differential equation is derived as the transformation between the implied volatility surface and such risk neutral probability. Given a well-interpolated...

Options on futures traded in Europe, Australia and South Africa are subject to futures-style premium posting (FSPP): the premium is not paid up front but marked to market, and the last settlement premium paid upon exercise. The previous literature has derived pricing models for such options....

In this dissertation we price European and American vanilla and barrier options assuming that the underlying follows the variance gamma process. We solve numerically the problem implementing a finite difference algorithm and we present numerical experiments on the option pricing. This...

Banks and other financial institutions raise hybrid capital as part of their risk capital. Hybrid capital has no maturity, but, similarily to most corporate debt, includes an embedded issuer's call option. To obtain acceptance as risk capital, the first possible exercise date of the embedded...

The first part of this document is dedicated to the pricing of undiscounted Vanilla Options: we compute the price and sensitivities of Calls and Puts, and highlight the different FX Delta conventions. The most important application of specific FX market conventions (and particularly Deltas...