Download or read book Option Price Calibration Around Earning Announcement Dates Using Modified Variance Gamma Models written by and published by . This book was released on 2007 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Multivariate Variance Gamma Model written by Daniël Linders and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Option Pricing in a Dynamic Variance Gamma Model written by Lorenzo Mercuri and published by . This book was released on 2014 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamma mixing density. We assume that the Gamma mixing density is time varying and follows an affine Garch model, trying to capture persistence of volatility shocks and also higher order conditional dynamics in a parsimonious way.We select an equivalent martingale measure by means of the conditional Esscher transform as in Buhlmann et al. (1996) and show that this change of measure leads to a similar dynamics of the mixing distribution. The model admits a recursive procedure for the computation of the characteristic function of the terminal logprice, thus allowing semianalytical pricing as in Heston and Nandi (2000). From an empirical point of view, we check the ability of this model to calibrate SPX option data and we compare it with the Heston and Nandi (2000) model and with the Christoffersen, Heston and Jacobs (2006) model, that is based on Inverse Gaussian innovations.

Download or read book The Variance Gamma Option Pricing Model written by Dilip B. Madan and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Earnings Surprise and Ex ante Price Effects in Options Markets written by Jin-kyu Joo and published by . This book was released on 1988 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Variance Gamma Process in the Option Pricing Model written by Jakub Drahokoupil and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Accounting for Earnings Announcements in the Pricing of Equity Options written by Tim Leung and published by . This book was released on 2015 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study an option pricing framework that accounts for the price impact of an earnings announcement (EA), and analyze the behavior of the implied volatility surface prior to the event. On each known announcement date, we introduce a random jump to the stock price. Applying this idea to extend the Black-Scholes model, we obtain formulas for the pre-EA European option price, its implied volatility and various Greeks. We further incorporate random-time jumps in the stock price by extending the Kou jump-diffusion model to incorporate an EA jump, and provide an analytic option pricing formula. Moreover, we derive analytic bounds and asymptotics for the pre-EA implied volatility under various models. The calibration results demonstrate adequate fit of the entire IV surface prior to an announcement. We also compare the risk-neutral distribution of the EA jump to its historical distribution. Finally, we discuss the valuation and exercise strategy of pre-EA American options, and illustrate an analytical approximation and numerical results.

Download or read book Local Variance Gamma Revisited written by Markus Falck and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we develop a new method for implied volatility surface construction for FX options. The methodology is based on the local variance gamma model developed by Carr (2008). Our approach is to solve a simplified "one-step" version of the Dupire equation analytically under the assumption of a continuous five parameter diffusion function. The unique solution to this equation can be interpreted as a continuous representation of option prices, defined for strikes in an arbitrarily large range. The derived price functions are C^2 -positive, arbitrage-free by construction, and they do not depend on the strike discretization. By using a least-square approach, we calibrate price functions to Reuters quoted FX volatility smiles. Our results suggest that the model allows for very rapid calibration; using a Levenberg-Marquardt algorithm we measure the average calibration time to less than 1 ms for one expiry on a standard personal computer.We also extend our model to allow for interpolation between maturities and present sufficient conditions for absence of calendar spread arbitrage. In order to generate the whole implied volatility surface, we suggest a simple, fast and yet market-consistent technique allowing for arbitrage-free interpolation of calibrated price functions in the maturity dimension.The methodology is tested against EURUSD and EURSEK options, where we show that the model has the capability to produce volatility surfaces which fit market quotes with an error of few volatility basis points. We then apply the methodology to pricing variance swaps.

Download or read book Time for a Change written by Harvey J. Stein and published by . This book was released on 2007 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most widely used option pricing model is the Black-Scholes model.We motivate an alternative option pricing model called the Variance Gamma (VG) model and demonstrate its implementation in the Bloomberg system.

Download or read book Diffusions Markov Processes and Martingales Volume 1 Foundations written by L. C. G. Rogers and published by Cambridge University Press. This book was released on 2000-04-13 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now available in paperback for the first time; essential reading for all students of probability theory.

Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.

Download or read book Valuation Approaches and Metrics written by Aswath Damodaran and published by Now Publishers Inc. This book was released on 2005 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuation lies at the heart of much of what we do in finance, whether it is the study of market efficiency and questions about corporate governance or the comparison of different investment decision rules in capital budgeting. In this paper, we consider the theory and evidence on valuation approaches. We begin by surveying the literature on discounted cash flow valuation models, ranging from the first mentions of the dividend discount model to value stocks to the use of excess return models in more recent years. In the second part of the paper, we examine relative valuation models and, in particular, the use of multiples and comparables in valuation and evaluate whether relative valuation models yield more or less precise estimates of value than discounted cash flow models. In the final part of the paper, we set the stage for further research in valuation by noting the estimation challenges we face as companies globalize and become exposed to risk in multiple countries.

Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic

Download or read book Mathematical Modeling And Computation In Finance With Exercises And Python And Matlab Computer Codes written by Cornelis W Oosterlee and published by World Scientific. This book was released on 2019-10-29 with total page 1310 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].

Download or read book Monte Carlo Simulation and Finance written by Don L. McLeish and published by John Wiley & Sons. This book was released on 2011-09-13 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Trading Volatility written by Colin Bennett and published by . This book was released on 2014-08-17 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. "A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read!" Carole Bernard, Equity Derivatives Specialist at Bloomberg "This book could be seen as the 'volatility bible'!" Markus-Alexander Flesch, Head of Sales & Marketing at Eurex "I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money" Paul Stephens, Head of Institutional Marketing at CBOE "One of the best resources out there for the volatility community" Paul Britton, CEO and Founder of Capstone Investment Advisors "Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject" Edmund Shing PhD, former Proprietary Trader at BNP Paribas "In a crowded space, Colin has supplied a useful and concise guide" Gary Delany, Director Europe at the Options Industry Council