VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest...

This paper investigates whether the overpricing of out-of-the money single stock calls can be explained by Tversky and Kahneman's (1992) cumulative prospect theory (CPT). We argue that these options are overpriced because investors overweight small probability events and overpay for such...

Insurances with capital funds (unit-linked, UFK), i.e. life and annuity saving and covering insurances combined with shares in selected investment funds of financial institutions are considered as additional form of pension saving. However, they are frequently seen as uneconomical products,...

This paper investigates whether the overpricing of out-of-the money single stock calls can be explained by Tversky and Kahneman's (1992) cumulative prospect theory (CPT). We argue that these options are overpriced because investors' overweight small probability events and overpay for such...

This paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study parameter uncertainty and the risk...

Background: This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined in the study by Jerbi (Quantitative Finance,...

Background: We investigated the determination of the pledged loan-to-value ratio in an optionpricing environment and mainly articulated the theoretical framework and analytical method. Methods: The basic idea is that the present value of the pledged loan payoff is equal to a put option's...

Der Handel mit Optionen gewinnt auf volatileren Agrarmärkten zunehmend an Bedeutung. Nun stellt sich die Frage, ob der Optionshandel ein sinnvolles Instrument zur Risikoabsicherung von Landwirten und Landhändlern darstellt oder ob er vielmehr ein Treiber der Agrarpreisvolatilität ist. Die...

Background: We investigated the determination of the pledged loan-to-value ratio in an optionpricing environment and mainly articulated the theoretical framework and analytical method. Methods: The basic idea is that the present value of the pledged loan payoff is equal to a put option’s...

Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive research in finance, and various models are...

This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informedtrading activities on put and call options are analyzed for 19 companies in the bankingand insurance sectors from January 1996 to September 2009. Our empirical findings suggestthat certain events such as...

Machine generated contents note: Preface xi Acknowledgements xiii About the Author xv CHAPTER 1 Introduction 1 The Airplane Ticket Trade 1 The Bull Cycle 2 The Renegades 3 Claws of the Bear 3 Zugzwang 4 The Sceptics 5 A Sad Truth 5 Common Mistakes 6 Imprecise but Effective 7 Hedging Against...

"A practical, informative guide to derivatives in the real world Derivatives is an exposition on investments, guiding you from the basic concepts, strategies, and fundamentals to a more detailed understanding of the advanced strategies and models. As part of Bloomberg Financial's three part...