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Calculating Value-at-Risk Using Option Implied Probability Distribution of Asset Price

In this article, the author uses the probability distribution of asset prices extracted from option prices to get the VaR of a portfolio using Monte-Carlo method.

Samit Ahlawat
Fri 10 May 2024

American π: Piece of Cake?

Textbooks tell you that pricing an American option in the context of the binomial model is a lot easier than it sounds. Is it really simple and obvious? Yes…and no.

Rolf Poulsen
Wed 21 Feb 2024

The Heston–Hull–White Model Part II: Numerics and Examples

In this article, the authors review the methods for pricing European options using the Heston-Hull-White model.

Holger Kammeyer, Joerg Kienitz
Wed 15 Nov 2023

Primer on Arbitrage and Asset Pricing

In this paper, the authors go back to basics with arbitrage and asset pricing.

Leonard MacLean and Bill Ziemba
Thu 19 Oct 2023

Barrier Options and Lumpy Dividends

In this article, the authors study the pricing of barrier options on stocks with lumpy dividends.

Johannes Vitalis Siven, Michael Suchanecki and Rolf Poulsen
Fri 26 May 2023

Approximation of Continuous Monitoring with Discrete Monitoring Applied to Down—And—Out Options

In this paper, Stefan Ebenfeld and Damaris Hilzinger consider down—and—out options in the Black—Scholes framework.

Stefan Ebenfeld and Damaris Hilzinger
Thu 23 Mar 2023

Pricing Credit Derivatives with Uncertain Default Probabilities

In this article, the author presents a model for pricing credit spread options in an environment where the rating transition probabilities are uncertain parameters.

Vivien Brunel
Tue 11 Oct 2022

Swaptions: 1 Price, 10 Deltas, and … 61/2 Gammas*

This article compares simple risk measures (first and second order sensitivity to the underlying yield curve) for simple instruments (swaptions).

Marc Henrard
Thu 1 Sep 2022

Can anyone solve the smile problem?

In this paper, the authors explore whether the smile problem can be solved and provide a general reflection of the problem.

Elie Ayache, Philippe Henrotte, Sonia Nassar and Xuewen Wang
Tue 31 May 2022

Knock-in/out Margrabe

In this paper, Espen G. Haug and Jorgen Haug push the Black-Scholes-Merton (BSM) formula to the limit by using it to value exchange-one-asset-for-another options with knock-in or knock-out provisions that depend on the ratio of the two asset prices.

Espen G. Haug and Jorgen Haug
Tue 31 May 2022