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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...
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Spectral Decomposition Option Prices Fast Mean-Reverting Stochastic Volatility Models
2010/10/21
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatilit...
Small-Time Asymptotics of Option Prices and First Absolute Moments
option price absolute moment small-time asymptotics approximation
2010/10/20
We study the leading term in the small-time asymptotics of at-the-money call option prices when the stock price process $S$ follows a general martingale. This is equivalent to studying the first cent...
A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing
discretization scheme diffusion processes
2010/12/13
A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale problem framework. Mo...
Do option markets correctlyprice the probabilities of movement of the underlying asset?
State-price densities Risk-neutral densities Densitycomparison Arbitrage relationships Girsanov's Theorem Implied volatilitysmile Jump risk Peso problem
2014/3/13
We answer this question bycomparing te risk-neutral densityestimated in complete markets from cross-section of S&P 500 option prices to the risk-neutral densityinferred from the time series densityof ...