[PDF] Top 20 Efficient pricing of barrier options with the variance gamma model
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Efficient pricing of barrier options with the variance gamma model
... Given the estimator’s unbiasedness, the efficiency gain factor compared to full-dimensional (non-truncated) sam- pling is the ratio of expected work between the two es- timators. Tables 1 and 2 show results for the ... See full document
5
Pricing European and Discretely Monitored Exotic Options under the Lévy Process Framework »
... exotic options (Bermudan and discrete barrier) in a market where the underlying asset follows a geometric Lévy ...the variance gamma model, we show how to price European options ... See full document
13
Pricing Early Exercise and Discrete Barrier Options by Fourier Cosine Series Expansions
... Black-Scholes model (Geometric Brownian Motion), VG stands for Variance Gamma model [33], CGMY denotes the model from [12], NIG is short for the Normal Inverse Gaussian L´evy process ... See full document
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Efficient pricing of ratchet equity-indexed annuities in a variance-gamma economy
... a pricing framework based on a risk minimizing approach with stochastic interest ...market model as in Lin and Tan (2003), but use risk neutral valuation to price a number of EIAs ...to model the ... See full document
16
Option Pricing Under the Variance Gamma Process
... European options using the cost of a hedging strategy, when the underlying follows a pure jump process, because a self financing contin- uous trading strategy in the underlying asset and in the riskless bond that ... See full document
381
Efficient simulation of gamma and variance gamma processes
... the gamma process and the variance gamma process, recursively halfing the sampling horizon, conditional on pre- viously generated values of the ...of gamma-process paths is straightforward, a ... See full document
8
Valuation of European and American Options under Variance Gamma Process
... lattice model is extremely ...simulation model. Many literatures thought that the simulation model, ...simulation model can be applied to the American option more ... See full document
9
Barrier options pricing of fractional version of the Black-Scholes model
... very efficient and pow- erful technique in finding the solutions of the pro- posed ...for pricing other options in fractional black-scholes market and nonlinear black-scholes market in ... See full document
8
Model uncertainty and the pricing of American options
... on model-independent bounds for exotic options in the presence of known European option ...lookback options, model-free or robust bounds have been identified for barrier options ... See full document
43
Model uncertainty and the pricing of American options
... on model-independent bounds for exotic options in the presence of known European option ...lookback options, model-free or robust bounds have been identified for barrier options ... See full document
43
The wiener-hopf technique and discretely monitored path-dependent option pricing
... including barrier, first-touch, hindsight and double-barrier ...Black-Scholes model is used to ex- emplify results throughout, though analysis applies equally well to L´evy ...and efficient ... See full document
33
Accelerating Monte Carlo Method for Pricing Multi-asset Options under Stochastic Volatility Models
... multi-asset options with stochastic volatility models? Since there is no closed formula for options value, we mainly focus on the control variate Monte Carlo method for multi-asset options ... See full document
9
Hilbert transform, spectral filters and option pricing
... for pricing derivatives based on the Hilbert transform computed with a sinc function expansion can be modified with the addition of spectral filters to improve their ...the pricing schemes by Feng and ... See full document
31
Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options.
... VG model have led to its recent implementation in the Bloomberg system, through the function ...in pricing options, based on market ...VG model among financial analysts, traders and other ... See full document
32
Revisiting variance gamma pricing : an application to S&P500 index options
... value options using an illustrative example of a Variance-Gamma ...VG model derived by Geman ...weekly options data using both FFT and FRFT ...small pricing errors; we also found ... See full document
39
Variance Reduction Techniques of Importance Sampling Monte Carlo Methods for Pricing Options
... for pricing and hedging of various complex financial derivatives, which play an important role in the field of investment, risk management and corporate ...the pricing of complex path-dependent ... See full document
6
Design of New Barrier Outperformance Certificates in Oil Market
... Exotic options introduce new generation of options with a widely used class of barrier ...The barrier level (also known as the second strike price) is typical for barrier ...of ... See full document
9
Pricing multi windowed barrier options using finite element method
... Chapter 2 PDE approach and weak solution As mentioned in Chapter 1 , we discuss pricing options in t hree different models in the thesis: a Black-Scholes' model [5]; b Heston 's stochast[r] ... See full document
159
Vulnerable options pricing under uncertain volatility model
... volatility model [12] and Heston stochastic volatility model ...simple model, the stochastic volatility model has more state vari- ables, which makes it more difficult to give the analytic ... See full document
16
THE GREEKS & BLACK AND SCHOLE MODEL” TO EVALUATE OPTIONS PRICING & SENSITIVITY IN INDIAN OPTIONS MARKET.
... stock options have grown up tremendously during recent ...the options prices Options Pricing is crucial factor for hedging and Speculative ...activities. Pricing plays a vital role for ... See full document
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