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Two stock options at the races: Black-Scholes forecasts
stock options races Black-Scholes forecasts
2010/10/20
Suppose one buys two very similar stocks and is curious about how much, after some time T, one of them will contribute to the overall asset, expecting, of course, that it should be around 1/2 of the s...
Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
Mean-Variance Hedging Pricing European Options Non-continuous Trading
2010/4/28
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizi...
Improved Frechet bounds and model-free pricing of multi-asset options
copulas Frechet-Hoeffding bounds concordance order basket options
2010/4/28
We compute the improved bounds on the copula of a bivariate random vector when partial information is available, such as the values of the copula on the subset of $[0,1]^2$, or the value of a function...
We performed a comprehensive analysis on the price bounds of CDO tranche options, and illustrated that the CDO tranche option prices can be effectively bounded by the joint distribution of default tim...
Error Estimates for Multinomial Approximations of American Options in Merton's Model
Multinomial Approximations American Options Merton's Model
2010/4/28
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type c...
Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
Black--Scholes American Options
2010/4/28
We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quantities for similar Ame...
Explicit solutions for the exit problem for a class of Lévy processes. Applications to the pricing of double barrier options
Explicit solutions for the exit problem class Lévy processes Applications pricing double barrier options
2010/10/19
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute ...
Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method
Basket options pricing local volatility jump-diffusion model forward PIDE
2010/10/19
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We deri...
Asymptotics and Exact Pricing of Options on Variance
Asymptotics Exact Pricing Options Variance
2010/10/19
We consider the pricing of derivatives written on the discrete realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limi...
Explicit solutions for the exit problem for a class of Lévy processes. Applications to the pricing of double barrier options
Explicit solutions exit problem Lévy processes
2010/4/27
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute t...
Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
Pricing options illiquid markets optimal systems symmetry reductions
2010/10/18
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hedging strategies on the price of asset introduced by Sircar and Papanicolaou. We are first to study ...
Asymptotic behavior of prices of path dependent options
path dependent option Markov property Levy process Asian option partial barrier option asymptotic behavior
2010/11/3
In this paper, we give a numerical method for pricing long maturity,path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent optio...
AGRICULTURAL TRADE POLICY OPTIONS FOR SRI LANKA DURING CRISIS TIMES
AGRICULTURAL TRADE POLICY OPTIONS SRI LANKA DURING CRISIS TIMES
2014/4/11
The past three years were an eventful era for Sri Lanka whose economy had previously been relatively open and highly trade dependent. The era started with rapidly rising food and commodity prices and ...
Quota-free Trade in Textiles and Clothing: Policy Issues and Options for ASEAN
Quota-free Trade Textiles Clothing Policy Issues ASEAN
2009/9/1
Constrained until 2005 by import quotas, the production and trade of textiles
and clothing (T&C) has become widely dispersed with substantial losses in
global income and welfare. Meanwhile, quota an...
Priority Integration Sectors in ASEAN: Supply-side Implications and Options
ASEAN Supply-side Implications
2009/9/1
There are 12 priority integration sectors of strategic importance for the Association of Southeast Asian Nations (ASEAN). Exports from the nine largely goods sectors, with almost three quarters of mer...