, 2007 The contract is described and market examples given. Essential theoretical developments are introduced and cited chronologically. The principles and techniques of hedging and unique pricing are illustrated for the two simplest nontrivial examples: the classical Black-Scholes/Merton/Margrabe exchange option model brought somewhat uptodate from its form ...
Jamshidian, Farshid
openaire +8 more sources
Valuation and Parities for Exchange Options [PDF]
SIAM Journal on Financial Mathematics, 2015 19 ...
Kardaras, Constantinos
openaire +7 more sources
Entropic Dynamics of Exchange Rates and Options [PDF]
Entropy, 2019 An Entropic Dynamics of exchange rates is laid down to model the dynamics of foreign exchange rates, FX, and European Options on FX. The main objective is to represent an alternative framework to model dynamics.
Mohammad Abedi, Daniel Bartolomeo
doaj +4 more sources
Foreign exchange quanto options [PDF]
, 2008 A quanto option can be any cash-settled option, whose payoff is converted into a third currency at maturity at a pre-specified rate, called the quanto factor. There can be quanto plain vanilla, quanto barriers, quanto forward starts, quanto corridors, etc. The valuation theory is covered for example in [3] and [1].
Wystup, Uwe
core +6 more sources
Assessment of Exchange Options for Attracting External Financing by Small and Medium Businesses [PDF]
Техника и технология пищевых производств, 2021 Introduction. The choice and justification of options for attracting investments are relevant for the development of any organization. The research objective was to assess exchange-traded options for attracting investment by small and medium businesses ...
Elena N. Starchenko +1 more
doaj +1 more source
Valuing Exchange Options under an Ornstein-Uhlenbeck Covariance Model
International Journal of Financial Studies, 2023 In this paper we study the pricing of exchange options between two underlying assets whose dynamic show a stochastic correlation with random jumps. In particular, we consider a Ornstein-Uhlenbeck covariance model, with Levy Background Noise Processes ...
Enrique Villamor, Pablo Olivares
doaj +1 more source
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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FORWARD, FUTURE AND OPTIONS ON STOCK EXCHANGE MARKET [PDF]
Journal of Process Management and New Technologies, 2016 The main motive of the formation and use of forward contracts and futures, and options, was certainly profit. Making financial markets more efficient, in terms of expanding the range of available financial instruments and reduction in transaction costs,
Ljiljana Stošić Mihajlović +1 more
doaj +1 more source
Uncertain Currency Option Pricing Based on the Fractional Differential Equation in the Caputo Sense
Fractal and Fractional, 2022 The foreign exchange market comprises the largest global volume, so the pricing of foreign exchange options has always been a hot issue in the foreign exchange market.
Qinyu Liu +5 more
doaj +1 more source
A Comparison between the Pricing of Capped and Power Options on the Basis of Arbitrage Prevention: Evidence from a Stochastic Market with Double Stochastic Volatility, Double Jump, and a Stochastic Intensity Measure [PDF]
Journal of Asset Management and Financing, 2020 Objective: In this paper, three types of power options under special stochastic markets have been priced. In the considered market, a risky underlying asset follows a model with two stochastic volatilities, two jumps, and a stochastic intensity measure ...
Elham Dastranj +3 more
doaj +1 more source