Showing 1 - 10 of 84,567
Persistent link: https://www.econbiz.de/10011970979
Persistent link: https://www.econbiz.de/10011285063
This paper demonstrates that perfectly calibrating a multi-asset model to observed market prices of all basket call options is insufficient to uniquely determine the price of a best-of call option. Previous research on multi-asset option pricing has primarily focused on complete market settings...
Persistent link: https://www.econbiz.de/10015436527
Persistent link: https://www.econbiz.de/10011577132
Persistent link: https://www.econbiz.de/10011553023
Persistent link: https://www.econbiz.de/10010190161
Persistent link: https://www.econbiz.de/10011535207
We want to discuss the option pricing in stochastic volatility market models, in which we consider a generic function B … (vt) for the drift of the volatility process. It is our intention to choose any equivalent martingale measure, such that …, the drift of the volatility process, with respect to the new measure, is zero. This technique is possible when the …
Persistent link: https://www.econbiz.de/10012905866
Persistent link: https://www.econbiz.de/10012022670
The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...
Persistent link: https://www.econbiz.de/10015591116