This paper proposes two-step static hedging strategies for European basket options by using only plain-vanilla options on a subset of underlying assets. The basic idea is …
The emergence of Lévy processes in the finance literature is due to empirical observations finding that the distribution of equity returns is in general skewed and leptokurtotic. One of …
Zusammenfassung Eine Option stellt einen Vertrag zwischen zwei Parteien dar, der ihrem Halter das Recht, aber nicht die Verpflichtung, gibt, zu einem bestimmten Zeitpunkt eine …
W Mudzimbabwe, KC Patidar… - Quaestiones …, 2012 - Taylor & Francis
In this paper we derive a lower bound for the price of a European basket option under the Black and Scholes framework. The bound is based on the conditioning method of [LCG …
PS Stilger, SH Poon - Available at SSRN 2273215, 2014 - papers.ssrn.com
We present an application of importance sampling to multi-asset options under the Heston and the Bates models as well as to the Heston-Hull-White and the Heston-Cox-Ingersoll …
This thesis concerns the numerical and empirical aspects of derivative pricing. The first part of the thesis focuses on improving the efficiency of Monte Carlo estimators through …
We present various methods of pricing Asian options. The methods include Monte Carlo simulations designed using control and antithetic variates, numerical solution of partial …
In this article, we make the design of a basket option on commodity prices with stochastic convenience yields, exchange rates and zero-coupon bonds. We carry out Monte Carlo …
This thesis deals with applications of Lévy processes in the field of mathematical finance. The class of Lévy processes generalizes the widely used Brownian motion in the sense that …