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Author : 楊承憲
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (18 download)
Download or read book Generalized Static Hedging Method of American Up-and-out Put Options Under Stochastic Volatility Model written by 楊承憲 and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : 藍景奕
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (126 download)
Download or read book Static Hedge of American Option with Stochastic Volatility Conditional on the Asset Price written by 藍景奕 and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Arun Chockalingam
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (129 download)
Download or read book American Options Under Stochastic Volatility written by Arun Chockalingam and published by . This book was released on 2012 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrates that volatility is not constant and stochastic volatility models are used to account for dynamic volatility changes. Option pricing methods that have been developed in literature for pricing under stochastic volatility focus mostly on European options. We consider the problem of pricing American options under stochastic volatility which has relatively had much less attention from literature. First, we develop an exercise-policy improvement procedure to compute the optimal exercise policy and option price. We show that the scheme monotonically converges for various popular stochastic volatility models in literature. Second, using this computational tool, we explore a variety of questions that seek insights into the dependence of option prices, exercise policies and implied volatilities on the market price of volatility risk and correlation between the asset and stochastic volatility.
Author : Saikat Nandi
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.0/5 ( download)
Download or read book Pricing and Hedging Index Options Under Stochastic Volatility written by Saikat Nandi and published by . This book was released on 1996 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dominique Joubert
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (871 download)
Download or read book Numerical Methods for Pricing American Put Options Under Stochastic Volatility written by Dominique Joubert and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Early exercise boundary -- Free boundary value problem -- Linear complimentary problem -- Crank-Nicolson finite difference method -- Projected Over-Relaxation method (PSOR) -- Stochastic volatility -- Heston stochastic volatility model -- Vroeë uitoefengrens -- Vrye grenswaardeprobleem -- Linêere komplimentêre probleem -- Crank-Nicolson eindige differensiemetode -- Geprojekteerde oorverslappingsmetode (PSOR) -- Stogastiese volatiliteit -- Heston stogastiese volatiliteitsmodel.
Author : Natalia Beliaeva
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book A Simple Approach to Pricing American Options Under the Heston Stochastic Volatility Model written by Natalia Beliaeva and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In a recent paper, NBZ [2010] present a multidimensional transform for generating path-independent trees for pricing American options under low dimensional stochastic volatility models. For this class of models, this approach has higher accuracy than the GARCH tree method of Ritchken and Trevor [1999], and is computationally more efficient than the Monte Carlo regression method of Longstaff and Schwartz [2001] as well as the lattice method of Leisen [2000]. In this paper, we give an explicit demonstration of the NBZ transform using the specific example of the Heston [1993] stochastic volatility model. This approach obtains highly accurate American option prices within a fraction of a second using the control variate method.
Author : Jan H. Maruhn
Publisher : Walter de Gruyter
ISBN 13 : 3110204681
Total Pages : 210 pages
Book Rating : 4.1/5 (12 download)
Download or read book Robust Static Super-replication of Barrier Options written by Jan H. Maruhn and published by Walter de Gruyter. This book was released on 2009 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.
Author : Manisha Goswami
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (664 download)
Download or read book American Option Pricing Under Stochastic Volatility written by Manisha Goswami and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The approximate method to price American options makes use of the fact that accurate pricing of these options does not require exact determination of the early exercise boundary. Thus, the procedure mixes the two models of constant and stochastic volatility. The idea is to obtain early exercise boundary through constant volatility model using the approximation methods of AitSahlia and Lai or Ju and then utilize this boundary to price the options under stochastic volatility models. The data on S & P 100 Index American options is used to analyze the pricing performance of the mixing of the two models. The performance is studied with respect to percentage pricing error and absolute pricing errors for each money-ness maturity group.
Author : Ankush Agarwal
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (13 download)
Download or read book American Options Under Stochastic Volatility written by Ankush Agarwal and published by . This book was released on 2015 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: American options are actively traded worldwide on exchanges, thus making their accurate and efficient pricing an important problem. As most financial markets exhibit randomly varying volatility, in this paper we introduce an approximation of American option price under stochastic volatility models. We achieve this by using the maturity randomization method known as Canadization. The volatility process is characterized by fast and slow scale fluctuating factors. In particular, we study the case of an American put with a single underlying asset and use perturbative expansion techniques to approximate its price as well as the optimal exercise boundary up to the first order. We then use the approximate optimal exercise boundary formula to price American put via Monte Carlo. We also develop efficient control variates for our simulation method using martingales resulting from the approximate price formula. A numerical study is conducted to demonstrate that the proposed method performs better than the least squares regression method popular in the financial industry, in typical settings where values of the scaling parameters are small. Further, it is empirically observed that in the regimes where scaling parameter value is equal to unity, fast and slow scale approximations are equally accurate.
Author : Rituparna Sen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Hedging Options in the Incomplete Market with Stochastic Volatility written by Rituparna Sen and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that it is possible to avoid the discrepancies of continuous path models for stock prices and still be able to hedge options if one models the stock price process as a birth and death process. One needs the stock and another market traded derivative to hedge an option in this setting. However, unlike in continuous models, number of extra traded derivatives required for hedging does not increase when the intensity process is stochastic. We obtain parameter estimates using Generalized Method of Moments and describe the Monte Carlo algorithm to obtain option prices. We show that one needs to use filtering equations for inference in the stochastic intensity setting. We present real data applications to study the performance of our modeling and estimation techniques.
Author : Nassim Nicholas Taleb
Publisher : John Wiley & Sons
ISBN 13 : 9780471152804
Total Pages : 536 pages
Book Rating : 4.1/5 (528 download)
Download or read book Dynamic Hedging written by Nassim Nicholas Taleb and published by John Wiley & Sons. This book was released on 1997-01-14 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.
Author : Svetlana Boyarchenko
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book American Options in Levy Models with Stochastic Volatility written by Svetlana Boyarchenko and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: A general numerical method for pricing American options in regime switching jump diffusion models of stock dynamics with stochastic interest rates and/or volatility is developed. Time derivative and infinitesimal generator of the process for factors that determine the dynamics of the interest rate and/or volatility are discretized. The result is a sequence of embedded perpetual options in a Markov-modulated Levy model. Options in the sequence are solved using an iteration method based on the Wiener-Hopf factorization. As an application, an explicit algorithm for the case of a Levy process with the intensity coefficient driven by the square root process with embedded jumps is derived. Numerical examples corroborate the general result about a gap between strike and early exercise boundary at expiry, in a neighborhood of r=0, in the presence of jumps.
Author : Joshua Rosenberg
Publisher :
ISBN 13 :
Total Pages : 292 pages
Book Rating : 4.:/5 (318 download)
Download or read book Option Hedging and Valuation Under Stochastic Volatility written by Joshua Rosenberg and published by . This book was released on 1996 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Replication Method of Generalized Static Hedging of Pricing American Options written by and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Klaus Bjerre Toft
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book How Well Can Barrier Options Be Hedged by a Static Portfolio of Standard Options? written by Klaus Bjerre Toft and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Derman, Ergener, and Kani (1994) construct static hedges of barrier options by assuming that local asset return volatility is a function of asset price and time only. However, Dumas, Fleming, and Whaley (1996) find that local volatilities implied from Samp;P 500 index option prices change in a nonpredictable fashion. It is therefore important to determine how sensitive the quality of a static barrier option hedge is to random changes in local volatilities. We investigate this issue by assuming that options are priced according to Heston's (1993) stochastic volatility model, and use these prices to construct static hedges of up and out barrier options. We then identify distributions of cash flows from these hedges by simulating asset price and volatility paths. Our simulations show that static hedges replicate barrier options quite well if the volatility of volatility is moderate or if the barrier option's payoff does not exhibit discontinuities. However, if the payoff on the boundary is noncontinuous, the quality of the static hedge deteriorates rapidly when the volatility of the volatility is large. This happens because a static hedge typically overhedges the volatility exposure of the target barrier option.
Author : Suchandan Guha
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (664 download)
Download or read book American Option Pricing Under Stochastic Volatility written by Suchandan Guha and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: We developed two new numerical techniques to price American options when the underlying follows a bivariate process. The first technique exploits the semi-martingale representation of an American option price together with a coarse approximation of its early exercise surface that is based on an efficient implementation of the least-squares Monte Carlo method. The second technique exploits recent results in the efficient pricing of American options under constant volatility. Extensive numerical evaluations show these methods yield very accurate prices in a computationally efficient manner with the latter significantly faster than the former. However, the flexibility of the first method allows for its extension to a much larger class of optimal stopping problems than addressed in this paper.
Author :
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (938 download)
Download or read book Pricing of Up-and-out Options Under Stochastic Volatility written by and published by . This book was released on 2008 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
