Discrete Barrier and Lookback Options
... we use a picture to illustrate the idea, rather than giving a proof. When we present the Howison–Steinberg approximation we spend considerable time on the basic background of the perturbation method (so that people with only probabilistic background can understand the intuition behind the idea), rat ...
... we use a picture to illustrate the idea, rather than giving a proof. When we present the Howison–Steinberg approximation we spend considerable time on the basic background of the perturbation method (so that people with only probabilistic background can understand the intuition behind the idea), rat ...
Studies of Barrier Options and their Sensitivities
... Scholes (1973) with joint works of Merton (1973). Together, they showed that under certain conditions, one could perfectly hedge the profits or losses of a European vanilla option, by following a self-financing replicating portfolio strategy. This gave rise to the first successful option pricing for ...
... Scholes (1973) with joint works of Merton (1973). Together, they showed that under certain conditions, one could perfectly hedge the profits or losses of a European vanilla option, by following a self-financing replicating portfolio strategy. This gave rise to the first successful option pricing for ...
![Since Slonczewski calculated [1] interfacial exchange - cerge-ei](http://s1.studyres.com/store/data/005381392_1-e9747be9e01b230768e0b5cde433f905-300x300.png)
Risk Management Strategies
... management tools to form a risk management strategy will help them to achieve even better results. A farmer almost always is operating under risky conditions. Is risk a bad thing? If we lived and worked in a world without risk, there would be no such thing as above-normal profits. Everyone would rec ...
... management tools to form a risk management strategy will help them to achieve even better results. A farmer almost always is operating under risky conditions. Is risk a bad thing? If we lived and worked in a world without risk, there would be no such thing as above-normal profits. Everyone would rec ...
Empirical Evidence of Risk Shifting in Financially Distressed Firms
... of distressed firms generate less value during times of high uncertainty. Empirical evidence using 40 years of data supports both hypotheses. I further evaluate the effect of various firm characteristics on risk shifting, and estimate the costs of the investment distortion. ...
... of distressed firms generate less value during times of high uncertainty. Empirical evidence using 40 years of data supports both hypotheses. I further evaluate the effect of various firm characteristics on risk shifting, and estimate the costs of the investment distortion. ...
Hedging Strategies Using Futures
... F1– F2: Loss on futures position Options, Futures, and Other Derivatives, 7th International Edition, Copyright © John C. Hull 2008 ...
... F1– F2: Loss on futures position Options, Futures, and Other Derivatives, 7th International Edition, Copyright © John C. Hull 2008 ...
Spillover Effect of Disagreement
... about the fundamental of one stock and the expected return or volatility of another stock. The two stocks differ in their size, or the share each stock’s dividend contributes to the aggregate dividend. We find that there is a “spillover” of the disagreement effect, above and beyond the effect of di ...
... about the fundamental of one stock and the expected return or volatility of another stock. The two stocks differ in their size, or the share each stock’s dividend contributes to the aggregate dividend. We find that there is a “spillover” of the disagreement effect, above and beyond the effect of di ...
Margin requirements with intraday dynamics
... describe and predict the impact of futures price volatility within the appropriate timeframe. In terms of statistical modelling the impact of futures volatility on margin requirement setting require a certain minimum number of observations for first accurately identifying the empirical feature, next ...
... describe and predict the impact of futures price volatility within the appropriate timeframe. In terms of statistical modelling the impact of futures volatility on margin requirement setting require a certain minimum number of observations for first accurately identifying the empirical feature, next ...
An Introduction to Econophysics: Correlation
... Since the 1970s, a series of significant changes has taken place in the world of finance. One key year was 1973, when currencies began to be traded in financial markets and their values determined by the foreign exchange market, a financial market active 24 hours a day all over the world. During tha ...
... Since the 1970s, a series of significant changes has taken place in the world of finance. One key year was 1973, when currencies began to be traded in financial markets and their values determined by the foreign exchange market, a financial market active 24 hours a day all over the world. During tha ...
A Study of Implied Risk-Neutral Density Functions in
... where the variable dz is a continuous Wiener process and is equal to ε dt. Applying a mathematical result known as Ito’s lemma1 to equation (2.3), it can be shown that the price, f , of an option or another derivative written on the underlying stock S, has to satisfy the following relation2 : df = ...
... where the variable dz is a continuous Wiener process and is equal to ε dt. Applying a mathematical result known as Ito’s lemma1 to equation (2.3), it can be shown that the price, f , of an option or another derivative written on the underlying stock S, has to satisfy the following relation2 : df = ...
PowerPoint Version of Binomial Tree Pricing Notes
... If the actual market price increases above the market conversion price the value of the convertible bond should increase by the same percentage. Buying the convertible bond rather than the underlying stock results in basically paying a premium for the stock an can be expressed as a ratio based on th ...
... If the actual market price increases above the market conversion price the value of the convertible bond should increase by the same percentage. Buying the convertible bond rather than the underlying stock results in basically paying a premium for the stock an can be expressed as a ratio based on th ...
State-dependent fees for variable annuity guarantees
... and we present details that will make it easier to use for the reader. We also extend the results to allow for a threshold for fee payments that is higher than the guaranteed amount, so that the fee begins to be paid when the fund moves close to being in-themoney. For convenience, we refer to this f ...
... and we present details that will make it easier to use for the reader. We also extend the results to allow for a threshold for fee payments that is higher than the guaranteed amount, so that the fee begins to be paid when the fund moves close to being in-themoney. For convenience, we refer to this f ...
