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Local Volatility Pricing Models for Long-dated FX Derivatives
Local volatility Stochastic volatility Foreign Exchange Stochastic interest rates Calibration
2012/4/28
We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX derivatives. We deriv...
Pricing Variable Annuity Guarantees in a Local Volatility framework
Pricing Variable Annuity Guarantees Local Volatility framework Pricing of Securities
2012/4/28
In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the settings of a derivative ...
Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method
Basket options pricing local volatility jump-diffusion model forward PIDE
2010/10/19
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We deri...
Is the minimum value of an option on variance generated by local volatility?
minimum value option local volatility
2010/10/18
We discuss the possibility of obtaining model-free bounds on volatility derivatives, given present market data in the form of a calibrated local volatility model. A counter-example to a wide-spread co...
We obtain new closed-form pricing formulas for contingent claims when the asset follows a Dupire-type local volatility model. To obtain the formulas we use the Dyson-Taylor commutator method that we h...