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The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM

Beveridge, Christopher; Joshi, Mark S. - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-47

Persistent link: https://www.econbiz.de/10010363971

Extended Libor market models with affine and quadratic volatility

Zühlsdorff, Christian - 2002

The market model of interest rates specifies simple forward or Libor rates as lognormally distributed, their stochastic dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the product of a quadratic polynomial and a...

Persistent link: https://www.econbiz.de/10011538865

Hedging options with different time units in the pricing models

Vikström, Mikael (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001557350

Efficient computation of option price sensitivies for options of American style

Wallner, Christian; Wystup, Uwe - 2004

Persistent link: https://www.econbiz.de/10002463980

Venturing into uncharted territory : an extensible implied volatility surface model

François, Pascal; Galarneau-Vincent, Rémi; Gauthier, … - In: The journal of futures markets 42 (2022) 10, pp. 1912-1940

Persistent link: https://www.econbiz.de/10013465829

Pricing Asian options with correlators

Lavagnini, Silvia - In: International journal of theoretical and applied finance 24 (2021) 8, pp. 1-44

Persistent link: https://www.econbiz.de/10012887425

First- and second-order Greeks in the Heston model

Chan, Jiun Hong; Joshi, Mark S.; Zhu, Dan - In: Journal of risk 17 (2014/2015) 4, pp. 19-69

Persistent link: https://www.econbiz.de/10013262933

Managing option-trading risk when mental accounting influences prices

Siddiqi, Hammad - In: Journal of risk 18 (2015/2016) 1, pp. 71-89

Persistent link: https://www.econbiz.de/10013262946

Portfolio selection with options and transaction costs

Malamud, Semyon - 2014

dynamic option portfolio is characterized explicitly in terms of its expected sensitivities (Greeks) and the role of the mean … maturity, optimal state contingent option portfolios are characterized in terms of state prices Greeks as well as a new object …, the transactions costs Greeks …

Persistent link: https://www.econbiz.de/10010337963

Pricing and hedging of lookback options in hyper-exponential jump diffusion models

Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511

Persistent link: https://www.econbiz.de/10010235585