Showing 1 - 10 of 15
Persistent link: https://www.econbiz.de/10005347659
The approach selected is the fabrication of holographic optical elements which will focus to either a line or a point. A concentrating mirror is replicated in the hologram, which consists of dichromate gelatin exposed to a laser beam. The dichromate gelatin can be processed to produce a...
Persistent link: https://www.econbiz.de/10011054466
The 2007-2009 financial crisis has led legislators on both sides of the Atlantic to propose laws that would require most “standardised” over-the-counter (OTC) derivatives to be cleared centrally. This paper examines these proposals. Although OTC derivatives did not cause the crisis, they do...
Persistent link: https://www.econbiz.de/10009207480
Implied volatilities are frequently used to quote the prices of options. The implied volatility of a European option on a particular asset as a function of strike price and time to maturity is known as the asset's volatility surface. Traders monitor movements in volatility surfaces closely. In...
Persistent link: https://www.econbiz.de/10005495811
Persistent link: https://www.econbiz.de/10005402737
Persistent link: https://www.econbiz.de/10005407016
This article shows that the one-state-variable interest-rate models of Vasicek (1977) and Cox, Ingersoll, and Ross (1985b) can be extended so that they are consistent with both the current term structure of interest rates and either the current volatilities of all spot interest rates or the...
Persistent link: https://www.econbiz.de/10005743924
This paper presents a generalized version of the lattice approach to pricing options. It shows how the control variate technique can produce significant improvements in the efficiency of the approach. The control variate technique is illustrated using American puts on dividend and nondividend...
Persistent link: https://www.econbiz.de/10005609817
The first part of this paper presents a general approach to valuing a financial institution's contracts when there is credit risk. The approach uses contingent claims pricing theory and is particularly appropriate for an off-balance sheet contract, such as a swap, that can have either a positive...
Persistent link: https://www.econbiz.de/10005609947
We propose a methodology for assessing model risk and apply it to the implied volatility function (IVF) model. This is a popular model among traders for valuing exotic options. Our research is different from other tests of the IVF model in that we reflect the traders' practice of using the model...
Persistent link: https://www.econbiz.de/10005139235