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Pricing Barrier Options in the Heston Model Using the Heath-Platen Estimator

Coskun, Sema - 2018

Both barrier options and the Heston stochastic volatility model are omnipresent in real-life applications of financial mathematics. Therefore, we apply the Heath-Platen (HP) estimator as first introduced by Heath and Platen to price barrier options in the Heston model setting as an alternative...

Persistent link: https://www.econbiz.de/10012932585

Closed Form Pricing Formulas for Discretely Sampled Generalized Variance Swaps

Zheng, Wendong - 2012

Most of the existing pricing models of variance derivative products assume continuous sampling of the realized variance … processes, though actual contractual specifications compute the realized variance based on sampling at discrete times. We … formulas of the discretely sampled generalized variance swaps under vanishing sampling interval to the analytic pricing …

Persistent link: https://www.econbiz.de/10013115236

Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo

Guo, Ivan - 2016

Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating the square root of the expected realised variance which cannot be computed by direct Monte Carlo methods. Least...

Persistent link: https://www.econbiz.de/10012980091

Saddlepoint approximation methods for pricing derivatives on discrete realized variance

Zheng, Wendong; Kwok, Yue-Kuen - In: Applied mathematical finance 21 (2014) 1/2, pp. 1-31

Persistent link: https://www.econbiz.de/10010351861

Valuation of options on discretely sampled variance : a general analytic approximation

Drimus, Gabriel; Farkas, Walter; Gourier, Elise - In: The journal of computational finance 20 (2016) 2, pp. 39-66

Persistent link: https://www.econbiz.de/10011656703

Estimating Option Implied Risk Neutral Densities : A Novel Parametric Approach (Preprint)

Orosi, Greg - 2019

In this paper, we propose a novel parametric approach to extract the implied risk-neutral density function from a cross-section of call option prices. The method is based on the framework proposed by Orosi (2011), who presents a multi-parameter extension of the models of Figlewski (2002) and...

Persistent link: https://www.econbiz.de/10012905353

American Option Pricing Using Simulation : An Introduction with an Application to the GARCH Option Pricing Model

Stentoft, Lars - 2019

It contains an introduction to how simulation methods can be used to price American options and a discussion of various existing methods. An application using one of these methods, the regression based method, to the GARCH option pricing model is also provided

Persistent link: https://www.econbiz.de/10012905711

American Option Pricing Using Simulation and Regression : Numerical Convergence Results

Stentoft, Lars - 2011

Recently, simulation methods combined with regression techniques have gained importance when it comes to American option pricing. In this paper we consider such methods and we examine numerically their convergence properties. We first consider the Least Squares Monte-Carlo (LSM) method of...

Persistent link: https://www.econbiz.de/10013118205

Option Surface Econometrics with Applications

Madan, Dilip B.; Wang, King - 2021

At each maturity a discrete return distribution is inferred from option prices. Option pricing models imply a comparable theoretical distribution. As both the transformed data and the option pricing model deliver points on a simplex, the data is statistically modeled by a Dirichlet distribution...

Persistent link: https://www.econbiz.de/10013245484

Asymptotic expansion of risk-neutral pricing density

Mazzoni, Thomas - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-26

A new method for pricing contingent claims based on an asymptotic expansion of the dynamics of the pricing density is introduced. The expansion is conducted in a preferred coordinate frame, in which the pricing density looks stationary. The resulting asymptotic Kolmogorov-backward-equation is...

Persistent link: https://www.econbiz.de/10011857274