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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Jandačka, Martin, Ševčovič, Daniel (2005)
Journal of Applied Mathematics
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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...
Xu, Chenglong, Kwok, Yue Kuen (2005)
Journal of Applied Mathematics
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Wang, J.K. (2001)
Discrete Dynamics in Nature and Society
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Bhattacharya, Sukanto, Kumar, Kuldeep (2007)
Journal of Applied Mathematics and Decision Sciences
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Josephy, N., Kimball, L., Steblovskaya, V. (2008)
Journal of Applied Mathematics and Stochastic Analysis
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María Teresa González, Alfonso Novales (2009)
RACSAM
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Abdelmalek, Wafa, Ben Hamida, Sana, Abid, Fathi (2009)
Journal of Applied Mathematics and Decision Sciences
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P.-L. Lions, J.-M. Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
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Meyer, G.H. (1998)
Acta Mathematica Universitatis Comenianae. New Series
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Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Lindström, Erik (2010)
Advances in Decision Sciences
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P. Sztuba, A. Weron (2001)
Applicationes Mathematicae
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We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.