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Pricing of American Options
Gikhman, Ilya I. - 2017
In this paper, we present somewhat alternative point of view on early exercised American options. The standard … valuation of the American options the exercise moment is defined as one, which guarantees the maximum value of the option. We … papers [3]-[7]. Our idea is that the exercise moment of the American call/put options is defined by maximum/minimum value of …
Persistent link: https://www.econbiz.de/10012955060
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Alternative Option Pricing and CVA
Gikhman, Ilya I. - 2015
The document IFRS 7 requires disclosure of information about the nature and extent of risks arising from trading those instruments. There are several significant drawbacks in derivative price modeling which relate to global regulations of the derivatives market. Here we present a unified...
Persistent link: https://www.econbiz.de/10013027293
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Pricing and Hedging Options
Gikhman, Ilya I. - 2017
A new derivation of the Black Scholes Equation (BSE) based on integral form stochastic calculus is presented. Construction of the BSE solution is based on infinitesimal perfect hedging. The perfect hedging on a finite time interval is a separate problem that does not change option pricing. The...
Persistent link: https://www.econbiz.de/10012945201
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Critical Point on Stochastic Volatility Option Pricing
Gikhman, Ilya I. - 2017
Persistent link: https://www.econbiz.de/10012946519
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Stock, Implied, Local Volatilities and Black Scholes Pricing
Gikhman, Ilya I. - 2017
In this paper we present a critical point on connections between stock volatility, implied volatility, and local volatility. The essence of the Black Sholes pricing model is based on assumption that option piece is formed by no arbitrage portfolio. Such assumption effects the change of the real...
Persistent link: https://www.econbiz.de/10012950779
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Comments on Option Pricing
Gikhman, Ilya I. - 2016
derivation of the BSE can be eliminated. We pay attention to use options as hedging instruments. We develop a new approach to …
Persistent link: https://www.econbiz.de/10012986060
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Discrete Space-Time Options Pricing
Gikhman, Ilya I. - 2012
In this paper we represent alternative approach for exotics options valuation problem. We study the time-space discrete …
Persistent link: https://www.econbiz.de/10013099215
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Multiple Risky Securities Valuation II
Gikhman, Ilya I. - 2011
– vanilla options or CDS we actually deal with estimates of the spot prices. In our approach we define unique price for each …
Persistent link: https://www.econbiz.de/10013118726
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Multiple Risky Securities Valuation I
Gikhman, Ilya I. - 2011
In this paper we develop an approach to valuation of a multiple names security portfolio. The goal of the paper to present pricing and calculation of the risk characteristics of the corporate debt based on randomization of the historical data of a portfolio assets. Our approach close but it does...
Persistent link: https://www.econbiz.de/10013119585
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A Supplement to Remark on Local Volatility
Gikhman, Ilya I. - 2011
accurate forecast of options pricing and one can check that it is a quite significant business in financial world. In this …
Persistent link: https://www.econbiz.de/10013124197