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1 managing options risk for exotic options an exotic derivative is one for which no liquid market exists. as a general rule, the only liquid options are european-exercise…
options text reference: chapters 17 18 � background � option payoffs � put-call parity � option investment strategies � exotic options � factors affecting option…
pricing and hedging exotic options in stochastic volatility models zhanyu chen supervised by prof. thorsten rheinländer, dr. angelos dassios the london school of economics…
lecture 8 numerical pde methods for exotic options lecture notes by andrzej palczewski computational finance – p. 1 barrier options for barrier option part of the option…
fair value measurement of exotic options: volatility assumptions and model misspecification error jacinto marabel-romo bbva and university of alcalá, spain andrés guiral*…
exotic equity options dr graeme west financial modelling agency graeme@finmodcoza october 7 2009 contents 1 review of distributions and statistics 4 11 distributional facts…
the journal of finance * vol liii no 3 * june 1998 static hedging of exotic options peter carr katrina ellis and vishal gupta* abstract this paper develops static hedges…
optimal static-dynamic hedges for exotic options under convex risk measures aytaç i̇lhan ∗ mattias jonsson † ronnie sircar ‡ april 8, 2008; revised february 6, 2009…
optimal static-dynamic hedges for exotic options under convex risk measures aytaç i̇lhan ∗ mattias jonsson † ronnie sircar ‡ april 8, 2008; revised february 6, 2009…
fina556 – structured products and exotic options topic 3 — convertible bonds and equity-linked hybrid prod- ucts 3.1 convertible bonds 3.2 structured convertibles 3.3…
22.* exotic options chapter 22 22.* types of exotics package nonstandard american options forward start options compound options chooser options barrier options binary options…
slide 1 19-0 finance 457 19 chapter nineteen exotic options slide 2 19-1 finance 457 chapter outline 19.1 packages 19.2 nonstandard american options 19.3 forward start options…
lecture 8: pricing measures and applications to exotic optionsexotic options pricing measures • pricing measures, a.k.a. pricing kernels, or pricing models, are probability
applications of scrambled low discrepancy sequences to exotic optionsto exotic options ken seng tan phelim p. boyle depart. of stat. & actuarial science centre for advanced
topic 1 – overview of basic structured products 1.1 markets for structured products 1.2 examples of structured notes and equity-linked products 1.3 accumulators 1 what
further praise for exotic options and hybrids “this book brings a practitioner’s prospective into an area that has seen little treat- ment to date. the challenge of writing…
exotic options with lévy processes: the markovian approach sergio ortobelli lozza and alessandro staino 1 university of bergamo italy abstract: this paper proposes the markovian…
further praise for exotic options and hybrids “this book brings a practitioner’s prospective into an area that has seen little treat- ment to date. the challenge of writing…
slide 1©2001, mark a. cassano exotic options futures and options mark cassano university of calgary slide 2 ©2001, mark a. cassano asset price assume the asset has volatility…