Similar Search Results

Analytical pricing of double-barrier options under a double-exponential jump diffusion process : applications of laplace transform

Sepp, Artur - In: International journal of theoretical and applied finance 7 (2004) 2, pp. 151-175

Persistent link: https://www.econbiz.de/10002021501

Pricing options on realized variance in the Heston model with jumps in returns and volatility : part II: an approximite distribution of discrete variance

Sepp, Artur - In: The journal of computational finance 16 (2012/13) 2, pp. 3-32

Persistent link: https://www.econbiz.de/10009702584

An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs

Sepp, Artur - In: Quantitative Finance 12 (2012) 7, pp. 1119-1141

We introduce a jump-diffusion model for asset returns with jumps drawn from a mixture of normal distributions and show that this model adequately fits the historical data of the S&P500 index. We consider a delta-hedging strategy (DHS) for vanilla options under the diffusion model (DM) and the...

Persistent link: https://www.econbiz.de/10010606751

Option pricing - Filling the gaps

Lipton, Alex; Sepp, Artur - In: Risk : managing risk in the world's financial markets 24 (2011) 10, pp. 78-84

Persistent link: https://www.econbiz.de/10009795855

Brief communication - Factor models for credit correlation - The authors present an extension of the static factor model for pricing credit correlation products introduced by Lipton (2006) and detailed in Inglis & Lipton (2007).

Inglis, Stewart; Lipton, Alex; Sepp, Artur - In: Risk : managing risk in the world's financial markets 22 (2009) 4, pp. 98-99

Persistent link: https://www.econbiz.de/10008242133

CUTTING EDGE - Variance swaps - Variance swaps under no conditions - Conditional variance swaps are claims on realised variance that is accumulated when the underlying asset price stays within a certain range. Being highly sensitive to movements in both asset price and its variance, they require a very reliable model for pricing and risk-managing. The author applies the Heston stochastic ...

Sepp, Artur - In: Risk : managing risk in the world's financial markets 20 (2007) 3, pp. 82-87

Persistent link: https://www.econbiz.de/10007719362

Credit value adjustment for credit default swaps via the structural default model

Lipton, Alexander; Sepp, Artur - In: The journal of credit risk : published quarterly by … 5 (2009/10) 2, pp. 127-150

Persistent link: https://www.econbiz.de/10009932464

Equity derivatives - The beta stochastic volatility model - Local stochastic volatility models combine perfect calibration at time zero with realistic price dynamics. But traditional methods tend to underestimate the forward skew, and mis-price exotics such as cliquets as a result. The authors introduce a new model that uses the sensitivity of the at-the-money implied volatility to spot as a key ...

Karasinski, Piotr; Sepp, Artur - In: Risk : managing risk in the world's financial markets 25 (2012) 10, pp. 62-68

Persistent link: https://www.econbiz.de/10010040616

RESEARCH PAPERS - Pricing options on realized variance in the Heston model with jumps in returns and volatility. Part II. An approximate distribution of discrete variance

Sepp, Artur - In: The journal of computational finance 16 (2012) 2, pp. 3-32

Persistent link: https://www.econbiz.de/10010062330

Log-Normal Stochastic Volatility Model : Affine Decomposition of Moment Generating Function and Pricing of Vanilla Options

Sepp, Artur - 2016

While empirical studies have established that the log-normal stochastic volatility (SV) model is superior to its alternatives, the model does not allow for the analytical solutions available for affine models. To circumvent this, we show that the joint moment generating function (MGF) of the...

Persistent link: https://www.econbiz.de/10013005676