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Extra-Dimensional Approach to Option Pricing and Stochastic Volatility
Extra-Dimensional Option Pricing Stochastic Volatility
2010/10/18
The generalized 5D Black-Scholes differential equation with stochastic volatility is derived. The projections of the stochastic evolutions associated with the random variables from an enlarged space o...
Security Pricing with Information-Sensitive Discounting
Security Pricing Information-Sensitive Discounting
2010/10/18
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random re...
A comprehensive method for exotic option pricing
comprehensive method exotic option pricing
2010/10/18
This work illustrates how several new pricing formulas for exotic options can be derived within a Levy framework by employing a unique pricing expression. Many existing pricing formulas of the traditi...
Option pricing in multivariate stochastic volatility models of OU type
multivariate stochastic volatility models Ornstein-Uhlenbeck type processes option pricing
2010/10/18
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still ...
Adaptive Wave Models for Option Pricing Evolution: Nonlinear and Quantum Schrödinger Approaches
Black--Scholes option pricing adaptive nonlinear Schr\"odinger equation
2010/10/18
Adaptive wave model for financial option pricing is proposed, as a high-complexity alternative to the standard Black--Scholes model. The new option-pricing model, representing a controlled Brownian mo...
The impact of uncertainties on the pricing of contingent claims
pricing contingent claims
2010/10/18
We study the effect of parameters uncertainties on a stochastic diffusion model, in particular the impact on the pricing of contingent claims, thanks to Dirichlet Forms methods. We apply recent techni...
When Effort Rimes with Advantageous Selection: A New Approach to Life Insurance Pricing
advantageous selection precautionary effort life insurance
2009/5/7
This paper investigates the demand for and pricing of life insurance when insureds’ risk aversion is correlated with their precautionary effort. We assume that the population is divided into two grou...
Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
Investment-Grade Tranches Large Homogeneous Pool
2010/10/29
We use the theory of large deviations to study the pricing of investment-grade tranches of
synthetic CDO's. In this paper, we consider a simpli ed model which will allow us to introduce some of the c...
Regime Switching Stochastic Volatility with Perturbation Based Option Pricing
Stochastic volatility option pricing perturbation theory
2010/10/29
Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consistency with theoretic...
Pricing Fixed-Income Securities in an Information-Based Framework
Fixed-income securities interest rate theory inflation inflation-linked securities
2010/11/2
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous-time processes that describe the flow of information concerni...
A Review of Volatility and Option Pricing
Option pricing volatility models risk neutral valuation empirical volatility
2010/10/29
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and...
Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's. Part II: A Large Heterogeneous Pool
Investment-Grade Tranches Synthetic CDO's
2010/10/29
We use the theory of large deviations to study the pricing of investment-grade tranches of synthetic CDO's. In this paper, we consider a heterogeneous pool of names. Our main tool is a large-deviation...
Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
Econophysics Financial risk European options Fat-tailed distributions Student’s t-distribution
2010/11/1
The distribution of the returns for a stock are not well described by a normal probability density function (pdf). Student’s t -distributions, which have fat tails, are known to fit the distributions ...
The Transfer Pricing Problem with Non-Linearities
Transfer pricing Tomkins‟ pragmatic-analytical model Samuels‟ model quadratic function exponential function
2010/10/29
A number of approaches to solving the well-known transfer pricing problem are known. However, few models satisfactorily resolve the core problem of allowing both the source and receiving divisions to ...
Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
Call and put pricing functions Implied volatility Asymptotic formulas Pareto-type distributions Regularly varying functions
2010/11/1
In this paper, we obtain asymptotic formulas with error estimates for the implied volatility
associated with a European call pricing function. We show that these formulas imply Lee’s moment formulas ...