On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile.
Jandačka, Martin, Ševčovič, Daniel (2005)
Journal of Applied Mathematics
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Displaying similar documents to “Valuing time-dependent CEV barrier options.”
On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile.
Computational exploration of the biological basis of Black-Scholes expected utility function.
Bhattacharya, Sukanto, Kumar, Kuldeep (2007)
Journal of Applied Mathematics and Decision Sciences
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Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
P.-L. Lions, J.-M. Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
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Volatility model risk measurement and against worst case volatilities
Risklab project in model risk (2000)
Journal de la société française de statistique
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Some short elements on hedging credit derivatives
Philippe Durand, Jean-Frédéric Jouanin (2007)
ESAIM: Probability and Statistics
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In practice, it is well known that hedging a derivative instrument can never be perfect. In the case of credit derivatives ( synthetic CDO tranche products), a trader will have to face some specific difficulties. The first one is the inconsistence between most of the existing pricing models, where the risk is the occurrence of defaults, and the real hedging strategy, where the trader will protect his portfolio against small CDS spread movements. The second one, which is the main subject...
Dynamic Stochastic Accumulation Model With Application to Pension Savings Management
Igor Melicherčik, Daniel Ševčovič (2010)
The Yugoslav Journal of Operations Research
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Generation of predictive price and trading volume patterns in a model of dynamically evolving free market supply and demand.
Wang, J.K. (2001)
Discrete Dynamics in Nature and Society
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A time-series approach to non-self-financing hedging in a discrete-time incomplete market.
Josephy, N., Kimball, L., Steblovskaya, V. (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Integral price formulas for lookback options.
Xu, Chenglong, Kwok, Yue Kuen (2005)
Journal of Applied Mathematics
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The intensity model for pricing credit securities with jump diffusion and counterparty risk.
Hao, Ruili, Ye, Zhongxing (2011)
Mathematical Problems in Engineering
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Evaluating Total Operational Value and Associated Risks of Financial Holding Companies in Taiwan
Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Selecting the best forecasting-implied volatility model using genetic programming.
Abdelmalek, Wafa, Ben Hamida, Sana, Abid, Fathi (2009)
Journal of Applied Mathematics and Decision Sciences
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Option pricing in a CEV model with liquidity costs
Krzysztof Turek (2016)
Applicationes Mathematicae
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The goal of this paper is to make an attempt to generalise the model of pricing European options with an illiquid underlying asset considered by Rogers and Singh (2010). We assume that an investor's decisions have only a temporary effect on the price, which is proportional to the square of the change of the number of asset units in the investor's portfolio. We also assume that the underlying asset price follows a CEV model. To prove existence and uniqueness of the solution, we use techniques...