A Practical Monte Carlo Method for Pricing Equity-Linked Securities with Time-Dependent Volatility and Interest Rate
S Kim, J Lyu, W Lee, E Park, H Jang, C Lee… - Computational …, 2024 - Springer
We develop a fast Monte Carlo simulation (MCS) for pricing equity-linked securities (ELS)
with time-dependent volatility and interest rate. In this paper, we extend a recently …
with time-dependent volatility and interest rate. In this paper, we extend a recently …
Reconstructing the local volatility surface from market option prices
We present an efficient and accurate computational algorithm for reconstructing a local
volatility surface from given market option prices. The local volatility surface is dependent on …
volatility surface from given market option prices. The local volatility surface is dependent on …
[HTML][HTML] Estrategia paracaídas: propuesta de cobertura para el mercado bursátil mexicano ante la llegada de ómicron
HA Olivares Aguayo - Análisis económico, 2022 - scielo.org.mx
El objetivo de la investigación es proponer una mejor estrategia de cobertura de la
volatilidad con opciones financieras europeas sobre el principal índice del mercado …
volatilidad con opciones financieras europeas sobre el principal índice del mercado …
Variance and volatility swaps and options under the exponential fractional Ornstein–Uhlenbeck model
HG Kim, SW Kim, JH Kim - The North American Journal of Economics and …, 2024 - Elsevier
Considering the fair strike values of variance and volatility swaps, we use a stochastic
volatility model in which the log volatility is given by a fractional Ornstein–Uhlenbeck …
volatility model in which the log volatility is given by a fractional Ornstein–Uhlenbeck …
[HTML][HTML] Mejores estrategias de cobertura en acciones del MexDer durante el primer año de la COVID-19
HA Olivares Aguayo, A Medina Conde - Análisis económico, 2021 - scielo.org.mx
Los derivados son instrumentos financieros que proporcionan ventajas competitivas y las
opciones financieras proporcionan un margen de protección como seguro financiero. El …
opciones financieras proporcionan un margen de protección como seguro financiero. El …
Parachute strategy: hedging proposal for the Mexican stock market in the face the arrival of omicron
HA Olivares Aguayo - Análisis económico, 2022 - scielo.org.mx
Resumen OLIVARES AGUAYO, Héctor Alonso. Parachute strategy: hedging proposal for the
Mexican stock market in the face the arrival of omicron. Anál. econ.[online]. 2022, vol. 37, n …
Mexican stock market in the face the arrival of omicron. Anál. econ.[online]. 2022, vol. 37, n …
Best hedging strategies in MexDer stocks during the first year of COVID-19
HA Olivares Aguayo, A Medina Conde - Análisis económico, 2021 - scielo.org.mx
Resumen OLIVARES AGUAYO, Héctor Alonso y MEDINA CONDE, Analaura. Best hedging
strategies in MexDer stocks during the first year of COVID-19. Anál. econ.[online]. 2021, vol …
strategies in MexDer stocks during the first year of COVID-19. Anál. econ.[online]. 2021, vol …