An elementary proof is presented to show that a connection exists between the Esscher-Girsanov transform and the Wang transform.

The 2008 credit crisis changed the manner in which derivative trades are conducted. One of these changes is the posting of collateral in a trade to mitigate the counterparty credit risk. Another is the realization that banks are not risk-free and, as a result, cannot borrow at the risk-free rate...

The current method employed by the Johannesburg Stock Exchange11www.jse.co.za. (JSE) to determine implied volatility is based on trade data and a linear deterministic approach. The aim of this paper is to construct a market-related arbitrage-free implied volatility surface, by using a quadratic...

The binomial asset pricing model of Cox, Ross and Rubinstein (CRR) is extensively used for the valuation of options. The CRR model is a discrete analog of the Black–Scholes–Merton (BSM) model. The 2008 credit crisis exposed the shortcomings of the oversimplified assumptions of the BSM model....