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Pricing Derivatives in Zone Model
Asia-Pacific Financial Markets, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Pricing derivatives with fractional volatility
International Journal of Financial Engineering, 2016This paper studies the effect of fractional volatility on path-dependent options, which are highly sensitive to the volatility structure of a targeted underlying asset process. To this end, we propose an approximation formula for average and barrier options when volatility follows a fractional Brownian motion. Furthermore, using the analytical formula,
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Derivative Pricing and Hedging
2012Chapter 1 begins with an overview of the ingredients of a financial market followed by a brief introduction to the idea of a derivative and the pricing problem for derivatives, using the case of a European call option as an example. It continues with a survey of the more common types of derivative (options, forwards, futures, swaps) and their uses in ...
Nigel J. Cutland, Alet Roux
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Gambling and Pricing of Derivatives
SSRN Electronic Journal, 1998We introduce a criterion how to price derivatives in incomplete markets, which is based on the theory of optimal strategies in repeated multiplicative games. Arguments are presented why such growth-optimal strategies should be relevant to the problem of pricing derivatives.
Erik M. Aurell +4 more
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2007
We consider an asset market traded three types of assets: the risk–free asset, the market portfolio and derivatives written on the market portfolio return. We determine a sufficient condition to guarantee that noise risk monotonically changes their derivatives. The condition is that Arrow–Pratt absolute risk aversion is decreasing and convex.
Osaki, Yusuke, Osaki, Yusuke
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We consider an asset market traded three types of assets: the risk–free asset, the market portfolio and derivatives written on the market portfolio return. We determine a sufficient condition to guarantee that noise risk monotonically changes their derivatives. The condition is that Arrow–Pratt absolute risk aversion is decreasing and convex.
Osaki, Yusuke, Osaki, Yusuke
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Pricing Temperature Derivatives
2012In this chapter, pricing formulas for weather derivatives on various temperature indices will be derived. The model that developed in the previous chapter described the daily dynamics of the temperature. Hence, it can be applied in order to estimate the various indices.
Antonis K. Alexandridis +1 more
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This is a masters-level overview of the mathematical concepts needed to fully grasp the art of derivatives pricing, and a must-have for anyone considering a career in quantitative finance in industry or academia. Starting from the foundations of probability, this textbook allows students with limited technical background to build a solid knowledge of ...
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Derivatives and arbitrage pricing
2011A financial derivative is a contract whose value depends on one or more securities or assets, called underlying assets. Typically the underlying asset is a stock, a bond, a currency exchange rate or the quotation of commodities such as gold, oil or wheat.
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Derivation of the Price Formula
2016So far it has been assumed that the supplier and buyer cooperate to develop the price formula. The supplier will then submit a quotation for all the price elements of the price formula. This procedure remains the main principle of the K-Method. This procedure is important and is the only way to apply the K-Method in a sustainable way so that the ...
Daniel Kossmann, Donald Kossmann
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