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What's beneath the surface? : option pricing with multifrequency latent states

Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - 2013

We introduce a tractable class of non-affine price processes with multifrequency stochastic volatility and jumps. The specifi cations require few fixed parameters and deliver fast option pricing. One key ingredient is a tight link between jumps and volatility regimes, as asset pricing theory...

Persistent link: https://www.econbiz.de/10010505458

Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model

Leippold, Markus; Vasiljević, Nikola - 2015

We analyze American put options in a hyper-exponential jump-diffusion model. Our contribution is threefold. Firstly, by … the American early exercise premium. Finally, using American-style options on S&P 100 index from 2007 until 2013, we …

Persistent link: https://www.econbiz.de/10011293508

Discrete-time option pricing with stochastic liquidity

Leippold, Markus; Schärer, Steven - 2016

stochastic liquidity model within our framework using multidimensional binomial trees and we calibrate it to call and put options …

Persistent link: https://www.econbiz.de/10011515968

A remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives"

Cheng, Jun; Ibraimi, Meriton; Leippold, Markus; Zhang, … - 2011

options in general and the error can become substantially large. VIX option pricing ; affine jump diffusion ; characteristic …

Persistent link: https://www.econbiz.de/10009554553

Collateral Smile

Leippold, Markus; Su, Lujing - 2011

We analyze the impact of funding costs and margin requirements on prices of index options traded on the CBOE. We …

Persistent link: https://www.econbiz.de/10009375107

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2013

This paper shows that the VIX market contains information on the variance of the S&P 500 returns, which is not already spanned by the S&P 500 market. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. We find that including...

Persistent link: https://www.econbiz.de/10010256394

Pricing of American Options

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

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