Download or read book A Unified Approach to Bermudan and Barrier Options Under Stochastic Volatility Models with Jumps written by Justin Kirkby and published by . This book was released on 2018 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling Stochastic Control Optimization and Applications written by George Yin and published by Springer. This book was released on 2019-07-16 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.

Download or read book Model Risk and Model Choice in the Case of Barrier Options written by Rainer Baule and published by . This book was released on 2019 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze model risk for the pricing of barrier options. In contrast to existing literature, this paper is based on an empirical data set of over 40,000 bonus certificates to analyze the real market extent of model risk for traded barrier options instead of purely synthetic options. For this purpose a local volatility model, the Heston model and the Bates model are applied. Furthermore, we add to the literature on the behavior of issuers of retail derivatives in terms of model choice. We find evidence that the majority of the issuers prefer stochastic volatility over local volatility models, while they do not use the even more realistic Bates model which incorporates jumps in the underlying.

Download or read book Pricing Models of Volatility Products and Exotic Variance Derivatives written by Yue Kuen Kwok and published by CRC Press. This book was released on 2022-05-08 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives

Download or read book Pricing Barrier and Bermudan Style Options Under Time Changed L Evy Processes written by Pingping Zeng and published by . This book was released on 2014 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We construct efficient and accurate numerical algorithms for pricing discretely monitored barrier and Bermudan style options under time-changed Levy processes by applying the fast Hilbert transform method to the log-asset return dimension and quadrature rule to the dimension of log-activity rate of stochastic time change. Some popular stochastic volatility models, like the Heston model, can be nested in the class of time-changed Levy processes. The computational advantages of the fast Hilbert transform approach over the usual fast Fourier transform method, like exponential decay of errors in terms of the step size in the transform and avoidance of recovering option prices at the monitoring time instants, can be extended to pricing barrier style options under time-changed Levy processes. We manage to compute the fair value of a dividend-ruin model with both embedded reflecting (dividend) barrier and absorbing (ruined) barrier. We also consider pricing of Bermudan options in conjunction with the determination of the associated critical asset prices. Our numerical tests demonstrate high level of accuracy, efficiency and reliability of the fast Hilbert transform approach when compared to other numerical schemes in the literature.

Download or read book Barrier Options Pricing in the Heston Stochastic Volatility Model written by Vitalija Alisauskaite and published by . This book was released on 2010 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pricing Window Barrier Options with a Hybrid Stochastic Local Volatility Model written by Yu Tian and published by . This book was released on 2014 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we present our research on pricing window barrier options under a hybrid stochastic-local volatility (SLV) model in the foreign exchange (FX) market. Due to the hybrid effect of the local volatility and stochastic volatility components of the model, the SLV model can reproduce the market implied volatility surface, and can improve the pricing accuracy for exotic options at the same time. In this paper, numerical techniques such as Monte Carlo and finite difference methods for standard exotic barrier options under the SLV model are extended to pricing window barrier options and numerical results produced by the SLV model are used to examine the performance and accuracy of the model for pricing window barrier options.

Download or read book On the Valuation of Fader and Discrete Barrier Options in Heston s Stochastic Volatility Model written by Susanne Griebsch and published by . This book was released on 2008 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Valuation of FX Barrier Options Under Stochastic Volatility written by David Heath and published by . This book was released on 1995 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Semi Group Expansion for Pricing Barrier Options written by Takashi Kato and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a rigorous asymptotic expansion method with its numerical scheme for the Cauchy-Dirichlet problem in second order parabolic partial differential equations (PDEs). As an application, we propose a new approximation formula for pricing barrier option in the log-normal SABR stochastic volatility model.

Download or read book Stochastic Volatility Models with Jumps and High Frequency Data written by Jonas Kau and published by . This book was released on 2009 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Value of FX Barrier Options Under Stochastic Volatility written by D. Heath and published by . This book was released on 1995 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Perpetual Barrier Options in Jump diffusion Models written by Pavel V. Gapeev and published by . This book was released on 2006 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Barrier Option Pricing Under SABR Model Using Monte Carlo Methods written by Junling Hu and published by . This book was released on 2013 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: The project investigates the prices of barrier options from the constant underlying volatility in the Black-Scholes model to stochastic volatility model in SABR framework. The constant volatility assumption in derivative pricing is not able to capture the dynamics of volatility. In order to resolve the shortcomings of the Black-Scholes model, it becomes necessary to find a model that reproduces the smile effect of the volatility. To model the volatility more accurately, we look into the recently developed SABR model which is widely used by practitioners in the financial industry. Pricing a barrier option whose payoff to be path dependent intrigued us to find a proper numerical method to approximate its price. We discuss the basic sampling methods of Monte Carlo and several popular variance reduction techniques. Then, we apply Monte Carlo methods to simulate the price of the down-and-out put barrier options under the Black-Scholes model and the SABR model as well as compare the features of these two models.

Download or read book On the Valuation of Barrier and American Options in Local Volatility Models with Jumps written by Bjorn Eriksson and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Volatility and Jump Diffusion Option Pricing Model written by Aytekin Sari and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Numerical Solution of Time Dependent Advection Diffusion Reaction Equations written by Willem Hundsdorfer and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 479 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unique book on Reaction-Advection-Diffusion problems