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Mô phỏng Tùy chọn Hiệu quả trong Điều kiện Có Chi phí Giao dịch Dịch bởi AI
Springer Science and Business Media LLC - - 2000
Lionel Martellini
Trong bối cảnh có chi phí giao dịch, tồn tại một sự đánh đổi giữa rủi ro và lợi nhuận giữa chất lượng và chi phí của một chiến lược tái tạo. Trong bối cảnh đó, tôi chỉ ra cách mở rộng tập hợp tất cả các chiến lược dựa trên thời gian có thể thông qua việc giới thiệu một lớp chiến lược đa quy mô, trong đó bao gồm việc cân bằng lại các phần khác nhau của một danh mục tùy chọn ở các tần suất thời gian...... hiện toàn bộ
#quản lý rủi ro #chi phí giao dịch #tái tạo tùy chọn #chiến lược đầu tư #đa dạng hóa thời gian
How fair-value accounting can influence firm hedging
Springer Science and Business Media LLC - Tập 16 - Trang 193-217 - 2012
Leif Atle Beisland, Dennis Frestad
The potential influence of accounting regulations on hedging strategies and the use of financial derivatives is a research topic that has attracted little attention in both the finance and the accounting literature. However, recent surveys suggest that company hedging can be substantially influenced by the accounting for financial instruments. In this study, we illustrate not only why but also how...... hiện toàn bộ
Implied volatility and skewness surface
Springer Science and Business Media LLC - - 2017
Bruno Feunou, Jean‐Sébastien Fontaine, Roméo Tédongap
CMS spread options in quadratic Gaussian model
Springer Science and Business Media LLC - Tập 25 - Trang 283-291 - 2022
Parviz Rakhmonov, Firuz Rakhmonov
In this paper we present a closed-form approximation for analytic pricing of CMS spread options in multifactor Quadratic Gaussian model. We benchmark prices calculated using closed-form approximation to the one calculated via numerical integration and demonstrate that approximation errors are very small. We also demonstrate that resulting pricing formulae are easy to implement, therefore should be...... hiện toàn bộ
Do CDS spreads move with commonality in liquidity?
Springer Science and Business Media LLC - - 2015
Christian Meine, Hendrik Supper, Gregor N. F. Weiß
Option Pricing Using Variance Gamma Markov Chains
Springer Science and Business Media LLC - Tập 5 - Trang 81-115 - 2002
Mikhail Konikov, Dilip B. Madan
This paper proposes a Markov Chain between homogeneous Lévy processesas a candidate class of processes for the statistical and risk neutral dynamicsof financial asset prices. The method is illustrated using the variance gammaprocess. Closed forms for the characteristic function are developed and thisrenders feasible, series and option prices respectively. It is observed inthe statistical and risk ...... hiện toàn bộ
Modelling jumps in electricity prices: theory and empirical evidence
Springer Science and Business Media LLC - Tập 10 - Trang 59-85 - 2007
Jan Seifert, Marliese Uhrig-Homburg
Objective of this paper is to enhance the understanding of modelling jumps and to analyse the model risk based on the jump component in electricity markets. We provide a common modelling framework that allows to incorporate the main jump patterns observed in electricity spot prices and compare the effectiveness of different jump specifications. To this end, we calibrate the models to daily Europea...... hiện toàn bộ
Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields
Springer Science and Business Media LLC - Tập 6 - Trang 129-155 - 2003
Carl Chiarella, Oh Kang Kwon
Finite dimensional Markovian HJM term structure models provide ideal settings for the study of term structure dynamics and interest rate derivatives where the flexibility of the HJM framework and the tractability of Markovian models coexist. Consequently, these models became the focus of a series of papers including Carverhill (1994), Ritchken and Sankarasubramanian (1995), Bhar and Chiarella (199...... hiện toàn bộ
Guest editorial: Special issue on hedge funds
Springer Science and Business Media LLC - Tập 14 - Trang 115-116 - 2011
Vikas Agarwal
Two-dimensional risk-neutral valuation relationships for the pricing of options
Springer Science and Business Media LLC - Tập 9 - Trang 213-237 - 2007
Guenter Franke, James Huang, Richard Stapleton
The Black–Scholes model is based on a one-parameter pricing kernel with constant elasticity. Theoretical and empirical results suggest declining elasticity and, hence, a pricing kernel with at least two parameters. We price European-style options on assets whose probability distributions have two unknown parameters. We assume a pricing kernel which also has two unknown parameters. When certain con...... hiện toàn bộ
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