Finance and Stochastics上的新鲜paper

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54708.pdf (261.38 KB, 需要: 2 个论坛币)

2006-6-5 04:06:00 上传

Finance and Stochastics上的新鲜paper
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An exact analytical solution for discrete barrier options

Abstract. In the present paper we provide an analytical solution for pricing discrete barrier options in the Black-Scholes framework. We reduce the valuation problem to a Wiener-Hopf equation that can be solved analytically. We are able to give explicit expressions for the Greeks of the contract. The results from our formulae are compared with those from other numerical methods available in the literature. Very good agreement is obtained, although evaluation using the present method is substantially quicker than the alternative methods presented.

[此贴子已经被作者于2006-6-5 4:10:06编辑过]

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关键词：Stochastics Stochastic Stochast Finance Financ Finance Paper Stochastics

54709.pdf (234.07 KB, 需要: 2 个论坛币)

2006-6-5 04:13:00 上传

Finance and Stochastics上的新鲜paper
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Abstract. We present an iterative procedure for computing the optimal Bermudan stopping time, hence the Bermudan Snell envelope. The method produces an increasing sequence of approximations of the Snell envelope from below, which coincide with the Snell envelope after finitely many steps. Then, by duality, the method induces a convergent sequence of upper bounds as well. In a Markovian setting the presented procedure allows to calculate approximative solutions with only a few nestings of conditional expectations and is therefore tailor-made for a plain Monte Carlo implementation. The method may be considered generic for all discrete optimal stopping problems. The power of the procedure is demonstrated for Bermudan swaptions in a full factor LIBOR market model.

54710.pdf (200.99 KB, 需要: 2 个论坛币)

2006-6-5 04:16:00 上传

Finance and Stochastics上的新鲜paper
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Abstract. Models which hypothesize that returns are pure jump processes with independent increments have been shown to be capable of capturing the observed variation of market prices of vanilla stock options across strike and maturity. In this paper, these models are employed to derive in closed form the prices of derivatives written on future realized quadratic variation. Alternative work on pricing derivatives on quadratic variation has alternatively assumed that the underlying returns process is continuous over time. We compare the model values of derivatives on quadratic variation for the two types of models and find substantial differences.

54711.pdf (150.76 KB, 需要: 2 个论坛币)

2006-6-5 04:18:00 上传

Finance and Stochastics上的新鲜paper
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Abstract. We consider an investor who maximizes expected exponential utility of terminal wealth, combining a static position in derivative securities with a traditional dynamic trading strategy in stocks. Our main result, obtained by studying the strict concavity of the utility-indifference price as a function of the static positions, is that, in a quite general incomplete arbitrage-free market, there exists a unique optimal strategy for the investor

54712.pdf (248.77 KB, 需要: 2 个论坛币)

2006-6-5 04:21:00 上传

Finance and Stochastics上的新鲜paper
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Abstract We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov et al. (Finance Stoch 6(3):371–382, 2002; Finance Stoch 7(3):403–411, 2003) and Schachermayer (Math Finance 14(1):19–48, 2004) to the case where bid-ask spreads are not known with certainty. In the “no-friction” case, we retrieve the result of Kabanov and Stricker (Preprint 2003). Additionally, we propose a new modelization based on simple orders which appears to be powerful whatever the information structure is.