Sorry, you need to enable JavaScript to visit this website.
Skip directly to content

Open Filter

Listing Thumbnail

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
Listing Thumbnail

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
Listing Thumbnail

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
Listing Thumbnail

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
Listing Thumbnail

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
Listing Thumbnail

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
Listing Thumbnail

Calibration problems – An inverse problems view

In this article, Heniz W. Engl discusses the model parameters from market prices of liquid instruments.

Heinz W. Engl
Thu 21 Apr 2022
Listing Thumbnail

Numerical Methods for the Markov Functional Model

Some numerical methods for efficient implementation of the 1- and 2-factor Markov Functional models of interest rate derivatives are proposed.

Simon Johnson
Thu 4 Nov 2021
Listing Thumbnail

Order Statistics for Value at Risk Estimation and Option Pricing

We apply order statistics to the setting of VaR estimation. Here techniques like historical and Monte Carlo simulation rely on using the k-th heaviest loss to estimate the quantile of the profit and loss distribution of a portfolio of assets. We show that when the k-th heaviest loss is used the expected quantile and its error will be independent of the portfolio composition and the return functions of the assets in the portfolio.

Frederik Herzberg & Christoph Bennemann
Tue 12 Oct 2021
Listing Thumbnail

Pricing Rainbow Options

A previous paper (West 2005) tackled the issue of calculating accurate uni-, bi- and trivariate normal probabilities. This has important applications in the pricing of multiasset options, e.g. rainbow options. In this paper, we derive the Black—Scholes prices of several styles of (multi-asset) rainbow options using change-of-numeraire machinery. Hedging issues and deviations from the Black-Scholes pricing model are also briefly considered.

Peter Ouwehand & Graeme West
Tue 12 Oct 2021