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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
Locally Complete Markets, Exchange Rates and Currency Options
Springer Science and Business Media LLC - Tập 6 - Trang 5-26 - 2003
Dong-Hyun Ahn, Bin Gao
This paper extends the Heath, Jarrow and Morton model (1992) to atwo country setup. In the presence of common shocks and country specificshocks, we retrieve each country's pricing kernel implied by itsterm structure dynamics and show that the pricing kernels impose a constrainton the exchange rate to be the ratio of the pricing kernels. Under therisk neutral measure, the drift of the exchange rate...... hiện toàn bộ
Pricing of swaps with default risk
Springer Science and Business Media LLC - Tập 2 - Trang 231-250 - 1998
Haitao Li
In this paper, I study the valuation of interest rate and currency swaps with default risk under the contingent claim analysis framework. I demonstrate that the traditional approach of pricing swap contracts as exchanges of loans underestimates the value of such contracts to the counterparty with higher credit rating and exaggerates the credit spread required to guard against default risk. Numeric...... hiện toàn bộ
Tighter Option Bounds from Multiple Exercise Prices
Springer Science and Business Media LLC - Tập 4 - Trang 155-188 - 2000
Peter J. Ryan
Optionbounds are determined by state discount factors limited by prices of a riskless bond and the underlying asset. Usually the asset has at least two market-traded options for each maturity, further limiting the factors. Tighter bounds result from incorporating the prices of all existing options of the same maturity. The tightened bounds are particularly applicable to appraising the consistency ...... hiện toàn bộ
A forward started jump-diffusion model and pricing of cliquet style exotics
Springer Science and Business Media LLC - Tập 13 - Trang 125-140 - 2009
Gabriel G. Drimus
In this paper we present an alternative model for pricing exotic options and structured products with forward-starting components. As presented in the recent study by Eberlein and Madan (Quantitative Finance 9(1):27–42, 2009), the pricing of such exotic products (which consist primarily of different variations of locally/globally, capped/floored, arithmetic/geometric etc. cliquets) depends critica...... hiện toàn bộ
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
Option pricing and hedging under a stochastic volatility Lévy process model
Springer Science and Business Media LLC - Tập 15 - Trang 81-97 - 2011
Young Shin Kim, Frank J. Fabozzi, Zuodong Lin, Svetlozar T. Rachev
In this paper, we discuss a stochastic volatility model with a Lévy driving process and then apply the model to option pricing and hedging. The stochastic volatility in our model is defined by the continuous Markov chain. The risk-neutral measure is obtained by applying the Esscher transform. The option price using this model is computed by the Fourier transform method. We obtain the closed-form s...... 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
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options
Springer Science and Business Media LLC - Tập 19 Số 1 - Trang 41-64 - 2016
Lie-Jane Kao
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