Hedging down-and-out puts (and up-and-out calls), where the maximum payoff is reached just before a barrier is hit that … would render the claim worthless afterwards, is challenging. All hedging methods potentially lead to large errors when the …, we analyze this hedging situation, especially the case of overnight trading gaps. We show how a position in a short …

exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local … volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of … that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most …

useful in the pricing of derivative securities where the implied stock price volatility cannot be observed. …The valuation of options and many other derivative instruments requires an estimation of exante or forward looking … volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian …

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …

volatility model, such as the Heston model, has not been reported at all. Adopting the method of matched asymptotic expansions … volatility near expiry. Through our analyses, we are able to show that the option price will be quite different from that … the constant volatility case if the spot volatility is given the same value as the constant volatility in the Black …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use … of numerical methods for pricing, hedging, and risk management of financial instruments. …

volatility of underlying rely on hidden states of the economy which can be interpreted in terms of Markov chains. By means of the …