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Pricing average options on commodities [PDF]
Journal of Futures Markets, 2010 This paper proposes a new approximation formula for average options on commodities under stochastic volatility environment. In particular, it derives a formula under two stochastic volatility models such as Heston and λ-SABR models including the SABR model as a special case by using an asymptotic expansion method.To our knowledge, this paper is the ...
Kenichiro Shiraya, Akihiko Takahashi
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Pricing Vulnerable Options with Copulas [PDF]
SSRN Electronic Journal, 2002 Counterparty risk is usually defined as the risk which stems from the fact that the counterparty of a derivative contract is not solvent before or at expiration. As most of the derivative trading activity has been moving from standardized products quoted on futures‐style markets, towards customized products traded on over‐the‐counter markets, the issue
Umberto Cherubini, Elisa Luciano
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Pricing Options on Realized Variance
SSRN Electronic Journal, 2005Models which hypothesize that returns are pure jump processes with independent increments have been shown to be capable of capturing the observed variation of market prices of vanilla stock options across strike and maturity. In this paper, these models are employed to derive in closed form the prices of derivatives written on future realized quadratic
Yor, Marc +3 more
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On pricing of credit spread options
European Journal of Operational Research, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
GIACOMETTI, Rosella, Teocchi, Mariangela
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The Pricing of Options and Corporate Liabilities
Journal of Political Economy, 1973zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Black, Fischer, Scholes, Myron S
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Pricing and Hedging Spread Options
SIAM Review, 2003There is already extensive literature on spread options in the equity, fixed income, foreign exchange and commodities markets. The authors patiently and cleverly put together the material scattered across recent textbooks and journal papers. After presenting a general overview of their common features, they describe in detail the mathematical framework
René Carmona 0001, Valdo Durrleman
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1987
Financial contracting is as old as human history. Deeds for the sale of land have been discovered that date to before 2800 bc. The Code of Hammurabi (c1800 bc) regulated, among other things, the terms of credit. Contingent contracting was also common.
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Financial contracting is as old as human history. Deeds for the sale of land have been discovered that date to before 2800 bc. The Code of Hammurabi (c1800 bc) regulated, among other things, the terms of credit. Contingent contracting was also common.
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OPTION PRICING BOUNDS AND THE PRICING OF BOND OPTIONS
Journal of Business Finance & Accounting, 1996Astrup Jensen, Bjarne +1 more
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