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Gikhman, Ilya I. - 2017

In this paper, we present somewhat alternative point of view on early exercised American options. The standard … valuation of the American options the exercise moment is defined as one, which guarantees the maximum value of the option. We … papers [3]-[7]. Our idea is that the exercise moment of the American call/put options is defined by maximum/minimum value of …

Persistent link: https://www.econbiz.de/10012955060

Alternative Option Pricing and CVA

Gikhman, Ilya I. - 2015

The document IFRS 7 requires disclosure of information about the nature and extent of risks arising from trading those instruments. There are several significant drawbacks in derivative price modeling which relate to global regulations of the derivatives market. Here we present a unified...

Persistent link: https://www.econbiz.de/10013027293

The Heston Stochastic-Local Volatility Model : Efficient Monte Carlo Simulation

van der Stoep, Anthonie - 2018

model and the market quotes for European-type options. By means of numerical experiments we show that our scheme enables a …

Persistent link: https://www.econbiz.de/10012938458

Pricing and Hedging Options

Gikhman, Ilya I. - 2017

A new derivation of the Black Scholes Equation (BSE) based on integral form stochastic calculus is presented. Construction of the BSE solution is based on infinitesimal perfect hedging. The perfect hedging on a finite time interval is a separate problem that does not change option pricing. The...

Persistent link: https://www.econbiz.de/10012945201

Critical Point on Stochastic Volatility Option Pricing

Gikhman, Ilya I. - 2017

Persistent link: https://www.econbiz.de/10012946519

Stock, Implied, Local Volatilities and Black Scholes Pricing

Gikhman, Ilya I. - 2017

In this paper we present a critical point on connections between stock volatility, implied volatility, and local volatility. The essence of the Black Sholes pricing model is based on assumption that option piece is formed by no arbitrage portfolio. Such assumption effects the change of the real...

Persistent link: https://www.econbiz.de/10012950779

Collocating Volatility : A Competitive Alternative to Stochastic Local Volatility Models

van der Stoep, Anthonie - 2020

-type options. In this article we consider three different kernel process choices: the Ornstein-Uhlenbeck (OU) and Cox … efficient calibration to exotic options, while the perfect calibration to liquid market quotes is preserved. We confirm this by … numerical experiments, in which we calibrate the OU-CV, CIR-CV and Heston-CV models to FX barrier options …

Persistent link: https://www.econbiz.de/10012851327

Comments on Option Pricing

Gikhman, Ilya I. - 2016

derivation of the BSE can be eliminated. We pay attention to use options as hedging instruments. We develop a new approach to …

Persistent link: https://www.econbiz.de/10012986060

Discrete Space-Time Options Pricing

Gikhman, Ilya I. - 2012

In this paper we represent alternative approach for exotics options valuation problem. We study the time-space discrete …

Persistent link: https://www.econbiz.de/10013099215

From Arbitrage to Arbitrage-Free Implied Volatilities

Grzelak, Lech A.; Oosterlee, Cornelis W. - 2016

We propose a method for determining an arbitrage-free density implied by Hagan’s formula. Our technique is based on the stochastic collocation method. The principle is to determine a few collocation points on the implied survival distribution function (SDF) and project them on a polynomial of...

Persistent link: https://www.econbiz.de/10014140352