Results 11 to 20 of about 1,754,337 (200)
Pricing European Currency Options with High-Frequency Data
Risks, 2022 Technological innovation has changed the financial market significantly with the increasing application of high-frequency data in research and practice.
Thi Le, Ariful Hoque
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EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS [PDF]
International Journal of Theoretical and Applied Finance, 2013 We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to trade. To isolate the impact of such liquidity constraints, we focus on the case where the market is completely static in the illiquid regime.
Michael Ludkovski, Qunying Shen
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An Approximate Closed Formula for European Mortgage Options
Trends in Computational and Applied Mathematics, 2023 The aim of this paper is to investigate the use of close formula approximation for pricing European mortgage options. Under the assumption of logistic duration and normal mortgage rates the underlying price at the option expiry is approximated by ...
A. M. Lopez Galvan
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Pricing and Hedging Bond Power Exchange Options in a Stochastic String Term-Structure Model
Risks, 2022 We study power exchange options written on zero-coupon bonds under a stochastic string term-structure framework. Closed-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding ...
Lloyd P. Blenman +2 more
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Multiperiod static hedging of European options
The Journal of Computational Finance, 2023 We consider the hedging of European options when the price of the underlying asset follows a single-factor Markovian framework. By working in such a setting, Carr and Wu \cite{carr2014static} derived a spanning relation between a given option and a continuum of shorter-term options written on the same asset.
Banerjee, Purba +2 more
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Spectral methods for volatility derivatives [PDF]
, 2009 In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX).
Albanese, Claudio +2 more
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A Systematic Review of European Electricity Market Design Options
Energies, 2023 The European electricity market model continues to evolve in the face of new challenges. This systematic literature review aims to assess the status of research and discussion on the current model and its market mechanisms.
Samuli Honkapuro +2 more
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European Papers, 2023 (Series Information) European Papers - A Journal on Law and Integration, 2022 7(3), 1141-1144 | Article | (Abstract) This Article provides insights into the question of whether there is a tension between commonness and differentiation in EU policies, in ...
Juan Santos Vara, Ramses A. Wessel
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, 2020 This paper deals with pricing of European and American options, when the underlying asset price follows Heston model, via the interior penalty discontinuous Galerkin finite element method (dGFEM).
Karasözen, Bülent +2 more
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Mathematics, 2022 The price V of a contingent claim in finance, insurance and economics is defined as an expectation of a stochastic expression. If the underlying uncertainty is modeled as a strong Markov process X, the Feynman–Kac theorem suggests that V is the unique ...
Sergei Levendorskiĭ
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