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MULTIVARIATE INTEGRAL PERTURBATION TECHNIQUES I: THEORY

DASH, JAN W. - In: International Journal of Theoretical and Applied … 10 (2007) 08, pp. 1287-1304

applications in finance are given, including options, models for credit risk and derivatives, and correlation sensitivities. …

Persistent link: https://www.econbiz.de/10004977433

CALIBRATED OPTION BOUNDS

KING, ALAN J.; KOIVU, MATTI; PENNANEN, TEEMU - In: International Journal of Theoretical and Applied … 08 (2005) 02, pp. 141-159

options are available for trading. Convex duality reveals a close relationship with recently proposed calibration techniques … options demonstrate the accuracy and robustness of the proposed method. …

Persistent link: https://www.econbiz.de/10005050500

ON THE SHAPE OF RISK AVERSION AND ASSET ALLOCATION

SIX, PIERRE - In: International Journal of Theoretical and Applied … 17 (2014) 08, pp. 1450054-1

This paper demonstrates the simple incorporation of any shape of risk aversion into an asset allocation framework. Indeed, the relevant literature about risk aversion shows mixed evidence regarding the shape of this important but subjective variable. Our setting builds on, and can be compared...

Persistent link: https://www.econbiz.de/10011106368

A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE

RODRIGO, MARIANITO R.; MAMON, ROGEMAR S. - In: International Journal of Theoretical and Applied … 11 (2008) 07, pp. 691-703

In this paper, we address the problem of recovering the local volatility surface from option prices consistent with observed market data. We revisit the implied volatility problem and derive an explicit formula for the implied volatility together with bounds for the call price and its derivative...

Persistent link: https://www.econbiz.de/10004971752

IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS

LINARAS, CHARILAOS E.; SKIADOPOULOS, GEORGE - In: International Journal of Theoretical and Applied … 08 (2005) 08, pp. 1085-1106

, data from the S&P 100 options are employed for the first time. The complex implied volatility trees are compared to the …

Persistent link: https://www.econbiz.de/10004971803

A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES

BENTH, FRED ESPEN; GROTH, MARTIN; KETTLER, PAUL C. - In: International Journal of Theoretical and Applied … 09 (2006) 06, pp. 843-867

vanilla call options and Asian options. The next application considers the problem of deriving implied parameters for the …

Persistent link: https://www.econbiz.de/10004971807

CRASH HEDGING STRATEGIES AND WORST-CASE SCENARIO PORTFOLIO OPTIMIZATION

MENKENS, OLAF - In: International Journal of Theoretical and Applied … 09 (2006) 04, pp. 597-618

Crash hedging strategies are derived as solutions of non-linear differential equations which itself are consequences of an equilibrium strategy which make the investor indifferent to uncertain (down) jumps. This is done in the situation where the investor has a logarithmic utility and where the...

Persistent link: https://www.econbiz.de/10004977437

BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE

OSTROVSKY, DMITRY - In: International Journal of Theoretical and Applied … 10 (2007) 05, pp. 847-872

is taken to be continuous and independent of Brownian motion. European options are priced by the no-arbitrage principle … replicate all European options by dynamically trading in stock, money market, and digital calls on realized variance. The notion … corresponding Black–Scholes price for all deep in- and out-of-the-money options under appropriate sufficient conditions. The model …

Persistent link: https://www.econbiz.de/10005060237

CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT

OSTROVSKY, DMITRY - In: International Journal of Theoretical and Applied … 10 (2007) 06, pp. 915-937

options are priced by the no-arbitrage principle as conditional averages of their classical CEV values over the CEV … deep out-of-the-money call options, under appropriate sufficient conditions, greater than the implied CEV volatilities …

Persistent link: https://www.econbiz.de/10005050491

IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS

YANG, ZHAOJUN; EWALD, CHRISTIAN-OLIVER; XIAO, YAJUN - In: International Journal of Theoretical and Applied … 12 (2009) 02, pp. 153-178

We discuss how implied volatilities for OTC traded Asian options can be computed by combining Monte Carlo techniques …

Persistent link: https://www.econbiz.de/10005000037