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Robust pricing and hedging of double no-touch options
Robust pricing double no-touch options
2010/10/29
Double no-touch options, contracts which pay out a fixed amount provided an underlying asset remains within a given interval, are commonly traded, particularly in FX markets. In this work, we establis...
Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model
Black–Scholes option pricing adaptive nonlinear Schr¨odinger equation
2010/11/2
A nonlinear wave alternative for the standard Black–Scholes option–pricing model is
presented. The adaptive-wave model, representing controlled Brownian behavior of financial
markets, is formally de...
We apply a quadratic hedging scheme developed by Follmer, Schweizer, and Sondermann to
European contingent products whose underlying asset is modeled using a GARCH process and show
that local risk-...
Improved and Developed Upper Bound of Price of Anarchy in Two Echelon Case
newsvendor problem price of anarchy convex optimization inequalities geometric interpretation
2010/11/1
Price of anarchy, the performance ratio, which could characterize the loss of efficiency of the distributed supply chain management compared with the integrated supply chain management
is discussed b...
State price density estimation via nonparametric mixtures
Black–Scholes equation European call options nonparametric mixture state price density
2010/11/2
We consider nonparametric estimation of the state price density encapsulated in option prices. Unlike usual density estimation problems,we only observe option prices and their corresponding strike pri...
The premium of dynamic trading
Continuous time portfolio selection mean–variance efficiency Sharperatio
2010/11/1
It is well established that in a market with inclusion of a risk-free asset the singleperiod
mean–variance efficient frontier is a straight line tangent to the risky region, a
fact that is the very ...
On Asymptotic Power Utility-Based Pricing and Hedging
Utility-based pricing and hedging incomplete markets mean-variance hedging numeraire semimartingale characteristics
2010/11/3
Kramkov and Sîrbu [24, 25] have shown that first-order approximations of power utility-based prices and hedging strategies can be computed by solving amean-variance hedging problem under a speci...
This work aims at a deeper understanding of the mathematical implications of the economically-sound condition of absence of arbitrages of the first kind in a financial market. In the
spirit of the Fu...
On the Existence of Shadow Prices in Finite Discrete Time
transactions costs portfolio optimization shadow price
2010/11/3
A shadow price is a process eS lying within the bid/ask prices S, S of a market with proportional transaction costs, such that maximizing expected utility from consumption
in the frictionless market ...
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
Econophysics Stochastic Volatility Monte Carlo Simulation Option Pricing Model Calibration
2010/11/1
We consider the problem of option pricing under stochastic volatility models, focusing on
the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck
and Stein-Stein.
On the Existence of Consistent Price Systems
Consistent pricing systems No-arbitrage Transaction costs Full support, Conditional
2010/11/3
In [8], a sufficient condition for the existence of consistent price systems (CPSs) was given. In this note, we give a weaker sufficient condition for a CPS to exist. We use this condition
to show th...
Efficient swaptions price in Hull-White one factor model
Efficient swaptions price factor model
2010/10/29
The Hull-White one factor model is used to price interest rate options. The parameters
of the model are often calibrated to simple liquid instruments, in particular European
swaptions. It is therefo...
Stochastic Volatility Models Including Open, Close, High and Low Prices
Stochastic Volatility Models Prices
2010/10/29
Mounting empirical evidence suggests that the observed extreme prices within a trading
period can provide valuable information about the volatility of the process within that period. In this paper we...
基于自组织理论的房地产价格变动分析
房地产价格 自组织理论
2008/10/31
房地产价格是房地产市场的核心问题，在我国经济高速发展的背景下，近年来我国城市房地产市场形成供销两旺的强劲势头，商品房的开发和销售业绩率创新高。随之而来的价格上涨幅度和速度，使人们对房地产市场价格的下跌形成预期。在历经紧缩性的货币政策、通货膨胀和利息上调之后，房地产价格走向成为各方关注的焦点。本文试图通过房地产自组织系统的构建对当前房地产价格走向进行客观分析，对房地产市场稳健发展的路径进行探析。