Valuing options in Heston's stochastic volatility model: Another analytical approach [PDF]
We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based on Mellin transforms we present new closed-form solutions for the price of European options and hedging parameters.
Frontczak, Robert
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From Skews to a Skewed-t [PDF]
In this paper we present a new methodology to infer the implied risk-neutral distribution function from European-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only four ...
Huisman, R., Jong, C.M. de
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A Legendre–Galerkin spectral method for option pricing under regime switching models
Results in Applied MathematicsThe aim of this paper is to investigate an efficient spectral method for pricing European call options under regime-switching models. The main characteristic of this model is to incorporate the change in behavior of the underlying assets depending on ...
Abdelmajid Ezzine +2 more
doaj +1 more source
A New Proposal for Collection and Generation of Information on Financial Institutions' Risk: the case of derivatives [PDF]
This article aims at providing a new alternative for the collection of information on risks taken by financial institutions, which enables the calculation of risk tools usually used in risk management, such as VaR and stress tests.
Benjamin M. Tabak, Gilneu F. A. Vivan
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Influence of Transaction Costs on Foreign Exchange Option Contracts: Intra-Daily Tests
The International Journal of Banking and Finance, 2010 This paper tests the impact of transaction cost specication on deviations from lower boundary and put-call parity properties. Using PHLX traded foreign exchange options, prices for puts and calls are matched to the nearest five minutes.
Ariful Hoque +2 more
doaj
A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices [PDF]
We present a numerical method for pricing derivatives on electricity prices. The method is based on approximating the generator of the underlying process and can be applied for stochastic processes that are combinations of diusions and jump processes ...
Albanese, Claudio +2 more
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Deep Learning Artificial Neural Network for Pricing Multi-Asset European Options
MathematicsThis paper studies a p-layers deep learning artificial neural network (DLANN) for European multi-asset options. Firstly, a p-layers DLANN is constructed with undetermined weights and bias.
Zhiqiang Zhou +4 more
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Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility [PDF]
Starting from the European option valuation framework of Chauveau & Gatfaoui (2002), we establish the link with stochastic volatility models. And, we propose both a new vision and a general framework for valuing European options in the light of ...
Chauveau Thierry, Gatfaoui Hayette
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Nature CommunicationsThe global steel industry accounts for 8–10 % of global CO2 emissions and requires deep decarbonisation for achieving the targets set in the Paris Agreement.
Constantin Johnson +3 more
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Liberalisation of European energy markets: challenges and policy options [PDF]
The European electricity and gas markets have been going through a process of liberalisation since the early 1990s. This process has changed the sector from a regulated structure of, predominantly, publicly owned monopolists controlling the entire supply
Gijsbert Zwart +2 more
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