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Most Efficient Homogeneous Volatility Estimators
Variance and volatility estimators efficiency homogeneous functions Variance and volatility estimators efficiency homogeneous functions
2010/11/2
We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The main tool of our theory is the parsimonious encoding of all the information containe...
Recovering a time-homogeneous stock price process from perpetual option prices
time-homogeneous stock price perpetual option prices
2010/10/29
It is well-known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion.In the present paper we consider the inverse problem, i.e. given...
Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
Investment-Grade Tranches Large Homogeneous Pool
2010/10/29
We use the theory of large deviations to study the pricing of investment-grade tranches of
synthetic CDO's. In this paper, we consider a simpli ed model which will allow us to introduce some of the c...