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A general closed form option pricing formula

Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - 2016 - This version: 10 March 2016

form pricing formula for European options is obtained by employing a modified Gram-Charlier series expansion, known as the …

Persistent link: https://www.econbiz.de/10011506359

Volatility dependent structured products

Dyachenko, Artem; Farkas, Walter; Rieger, Marc Oliver - 2019

We construct a derivative that depends on the SPY and VIX and, in this way, incorporates both the market risk premium and the variance risk premium. We show that the product's Sharpe ratio is higher than the SPY Sharpe ratio. If we invest $10000 into the product, the products' payoff is around...

Persistent link: https://www.econbiz.de/10012177147

Geometric step options with jumps : parity relations, PIDEs, and semi-analytical pricing

Farkas, Walter; Mathys, Ludovic - 2020

The present article studies geometric step options in exponential Lévy markets. Our contribution is manifold and … derive various characterizations for both European-type and American-type geometric double barrier step options. In … American-type geometric down-and-out step call options under hyper-exponential jump-diffusion models. Lastly, we use the latter …

Persistent link: https://www.econbiz.de/10012181323

Smooth and bid-offer compliant volatility surfaces under general dividend streams

Bachem, Olivier; Drimus, Gabriel; Farkas, Walter - 2013 - This version: July, 2013

Given bid-offer quotes for a set of listed vanilla options, a fundamental need of option market makers is to …

Persistent link: https://www.econbiz.de/10010258577

Optimal risk-sharing across a network of insurance companies

Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; … - 2020

Risk transfer is a key risk and capital management tool for insurance companies. Transferring risk between insurers is used to mitigate risk and manage capital re- quirements. We investigate risk transfer in the context of a network environment of insurers and consider capital costs and capital...

Persistent link: https://www.econbiz.de/10012270812

Pricing Autocallables under Local-Stochastic Volatility

Farkas, Walter; Ferrari, Francesco; Ulrych, Urban - 2022

of LSV models enable controlling for the autocallables price while leaving the fit to European options unaffected …

Persistent link: https://www.econbiz.de/10013491888