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Auctionomics and Power Auctions have submitted this exhibit to the Incentive
Auction NPRM at the request of the Commission’s staff. Its purpose is to elicit more
focused comments and to present a ...
Commodity price risk management using option strategies
commodity market hedging strategies vanilla options
2015/5/4
In the world of increasing price volatility, it is more important than ever to understand how to manage the price risk. The paper deals with the price risk management issues associated with commoditie...
Preliminary remarks on option pricing and dynamic hedging
Quantitative finance option pricing, European option dynamic hedging replication arbitrage time series volatility abrupt changes model-free control nonstandard analysis.
2012/9/14
An elementary arbitrage principle and the existence of trends in financial time series, which is base on a theorem published in 1995 by P. Cartier and Y. Perrin,lead to a new understanding of option p...
High-order short-time expansions for ATM option prices under a tempered stable Lévy model
Exponential Levy models CGMY and tempered stable models short-time asymptotics at-the-money option pricing implied volatility.
2012/9/14
The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel second-order approximation for ATM opti...
Option prices with call prices
Option valuation Barrier options Call options Americanoptions static hedging
2012/9/14
There exist several methods how more general options can be priced with call prices. In this article, we extend these results to cover a wider class of options and market models. In particular, we int...
Conditional sampling for barrier option pricing under the Heston model
Conditional sampling barrier option pricing Heston model
2012/9/14
We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT method from Imai and T...
European Option Pricing with Liquidity Shocks
liquidity shock indifference price exponential utility maximization
2012/6/2
We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to tr...
The Variance of Standard Option Returns
Variance of Standard Option Returns Pricing of Securities
2012/4/28
The vast majority of works on option pricing operate on the assumption of risk neutral valuation, and consequently focus on the expected value of option returns, and do not consider risk parameters, s...
CDS options allow investors to express a view on spread volatility and obtain a wider range of payoffs than are possible with vanilla CDS. We give a detailed exposition of different types of single-na...
Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance
Stochastic control generalized verification theorem portfolio optimization indifference pricing exponential forward performance
2012/3/2
This work focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential forward measure, th...
Pragmatic insurance option pricing
Complete and incomplete markets cost and market price adjustments Dynamic hedging and no-arbitrage Insurance and financial option contracts Insurance and option pricing theory
2011/9/6
This paper deals with theoretical and practical pricing of non-life insurance contracts within a financial option pricing context. The market-based assumption approach of the option context fits well ...
Model-independent Bounds for Option Prices: A Mass Transport Approach
Model-independent pricing Monge-Kantorovich transport problem option arbitrage
2011/7/4
In this paper we investigate model-independent bounds for exotic options written on a risky asset
using infinite-dimensional linear programming methods.
Using arguments from the theory of Monge-Kant...
Pricing of average strike Asian call option using numerical PDE methods
Asian Option Crank Nicolson Implicit Method Higher Order Compact Monte Carlo Simulation
2011/7/4
In this paper, a standard PDE for the pricing of arithmetic average strike Asian call option is presented. A Crank-Nicolson Implicit Method and a Higher Order Compact finite difference scheme for this...
Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option
Comparison Two Numerical Methods American Type of the Floating Strike Asian Option
2011/7/4
We present a numerical approach for solving the free bound-
ary problem for the Black-Scholes equation for pricing American style
of floating strike Asian options. A fixed domain transformation of t...
Application of Simulation Model as a Strategic Option for Determining the Amount of Time Required By an Average Voter to Cast Vote
voting elections simulation model
2011/6/1
Since the return to civil rule in Nigeria in 1999, the country has organised two general elections and numerous re - run elections at different levels.