Jurnal Derivat最新文献_第6页

Equity Portfolio Trading with Volatility and Dividend Derivatives 具有波动性和股息衍生品的股票组合交易

Jurnal Derivat Pub Date : 2021-12-23 DOI: 10.3905/jod.2021.1.142

R. Tunaru

引用次数: 0

Negative WTI Price: What Really Happened and What Can We Learn? 负WTI价格:到底发生了什么，我们能学到什么?

Jurnal Derivat Pub Date : 2021-12-23 DOI: 10.3905/jod.2021.1.141

Lingjie Ma

引用次数: 0

Editor’s Letter 编辑的信

Jurnal Derivat Pub Date : 2021-11-30 DOI: 10.3905/jod.2021.29.2.001

Joseph M. Pimbley

引用次数: 0

Cosine Willow Tree Structure under Lévy Processes with Application to Pricing Variance Derivatives lsamvy过程下的余弦柳树结构及其在定价方差衍生品中的应用

Jurnal Derivat Pub Date : 2021-09-25 DOI: 10.3905/jod.2021.1.140

Junmei Ma, Wei Xu, Yingdong Yao

引用次数: 3

Editor’s Letter 编者的信

Jurnal Derivat Pub Date : 2021-08-31 DOI: 10.3905/jod.2021.29.1.001

Joseph M. Pimbley

引用次数: 0

Semi-Analytical Solutions for Barrier and American Options Written on a Time-Dependent Ornstein–Uhlenbeck Process 基于时间依赖的Ornstein-Uhlenbeck过程的障碍和美式期权的半解析解

Jurnal Derivat Pub Date : 2021-04-12 DOI: 10.3905/JOD.2021.1.133

P. Carr, A. Itkin

{"title":"Semi-Analytical Solutions for Barrier and American Options Written on a Time-Dependent Ornstein–Uhlenbeck Process","authors":"P. Carr, A. Itkin","doi":"10.3905/JOD.2021.1.133","DOIUrl":"https://doi.org/10.3905/JOD.2021.1.133","url":null,"abstract":"In this article, we develop semi-analytical solutions for the barrier (perhaps, time-dependent) and American options written on the underlying stock that follows a time-dependent Ornstein–Uhlenbeck process with a lognormal drift. Semi-analytical means that given the time-dependent interest rate, continuous dividend and volatility functions, one need to solve a linear (for the barrier option) or nonlinear (for the American option) Volterra equation of the second kind (or a Fredholm equation of the first kind). After that, the option prices in all cases are presented as one-dimensional integrals of combination of the preceding solutions and Jacobi theta functions. We also demonstrate that computationally our method is more efficient than the backward finite difference method traditionally used for solving these problems, and can be as efficient as the forward finite difference solver while providing better accuracy and stability. TOPICS: Derivatives, options, statistical methods Key Findings ▪ For the first time the method of generalized integral transform, invented in physics for solving an initial-boundary value parabolic problem at [0, y(t)] with a moving boundary [y(t)], is applied to finance. ▪ Using this method, pricing of barrier and American options, where the underlying follows a time-dependent OU process (the Bachelier model with drift) are solved in a semi-analytical form. ▪ It is demonstrated that computationally this method is more efficient than the backward and even forward finite difference method traditionally used for solving these problems whereas providing better accuracy and stability.","PeriodicalId":34223,"journal":{"name":"Jurnal Derivat","volume":"29 1","pages":"9 - 26"},"PeriodicalIF":0.0,"publicationDate":"2021-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44492371","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

A Derivatives Pricing Model with Non-Cash Collateralization 一个非现金担保的衍生品定价模型

Jurnal Derivat Pub Date : 2020-12-14 DOI: 10.3905/jod.2020.1.126

Kazuhiro Takino

{"title":"A Derivatives Pricing Model with Non-Cash Collateralization","authors":"Kazuhiro Takino","doi":"10.3905/jod.2020.1.126","DOIUrl":"https://doi.org/10.3905/jod.2020.1.126","url":null,"abstract":"This article proposes a derivatives pricing model with both cash and a non-cash asset posted as collateral for a derivatives contract. We assume that the participant sources funds from the repo market for the posted non-cash collateral. Our pricing formula is based on the investment of the received collaterals. For the pricing formula, we discount the future derivatives value using a combination of the collateral and repo rates under a risk-neutral measure. Thus, our pricing model constructs a multi-curve framework. We calibrate our pricing model for JPY interest rate derivatives and then show that our model with non-cash collateralization is closer to the real price than the existing pricing formulae (i.e., the cash collateralization and simple short rate models). TOPICS: Derivatives, interest-rate and currency swaps, quantitative methods, statistical methods, risk management, credit risk management Key Findings ▪ A derivatives pricing model when cash and a non-cash asset are posted as collateral is proposed. The non-cash collateral receiver exchanges the posted collateral for cash in the repo market. ▪ Under this framework, the discount rate in the resulting pricing formula is given as the weighted average of the collateral and repo rates weighted with the amount of the cash collateral. ▪ The accuracy of the proposed pricing formula is superior to the pricing formula with the OIS discount that has been common after the financial crisis in 2008.","PeriodicalId":34223,"journal":{"name":"Jurnal Derivat","volume":"29 1","pages":"123 - 138"},"PeriodicalIF":0.0,"publicationDate":"2020-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43087767","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A Closed-Form Model-Free Implied Volatility Formula through Delta Families 一个通过Delta族的无封闭模型隐含波动率公式

Jurnal Derivat Pub Date : 2020-07-23 DOI: 10.2139/ssrn.3573239

Zhenyu Cui, J. Kirkby, D. Nguyen, Stephen Michael Taylor

{"title":"A Closed-Form Model-Free Implied Volatility Formula through Delta Families","authors":"Zhenyu Cui, J. Kirkby, D. Nguyen, Stephen Michael Taylor","doi":"10.2139/ssrn.3573239","DOIUrl":"https://doi.org/10.2139/ssrn.3573239","url":null,"abstract":"In this article, we derive a closed-form explicit model-free formula for the (Black-Scholes) implied volatility. The method is based on the novel use of the Dirac Delta function, corresponding delta families, and the change of variable technique. The formula is expressed through either a limit or as an infinite series of elementary functions, and we establish that the proposed formula converges to the true implied volatility value. In numerical experiments, we verify the convergence of the formula, and consider several benchmark cases, for which the data-generating processes are respectively the stochastic volatility inspired model, and the stochastic alpha beta rho model. We also establish an explicit formula for the implied volatility expressed directly in terms of respective model parameters, and use the Heston model to illustrate this idea. The delta family and change of variable technique that we develop are of independent interest and can be used to solve inverse problems arising in other applications. TOPIC: Derivatives Key Findings ▪ A novel closed-form representation of the Black-Scholes implied volatility is developed by utilizing a delta-family technique. ▪ Convergence and error analyses of approximate forms of this representations are presented. ▪ This technique is applied to the parametric SVI and SABR models as well as the stochastic volatility Heston model.","PeriodicalId":34223,"journal":{"name":"Jurnal Derivat","volume":"28 1","pages":"111 - 127"},"PeriodicalIF":0.0,"publicationDate":"2020-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44149184","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Pricing and Hedging Options on Assets with Options on Related Assets 用相关资产期权定价和对冲资产期权

Jurnal Derivat Pub Date : 2020-07-02 DOI: 10.2139/ssrn.3641658

D. Madan, King Wang

{"title":"Pricing and Hedging Options on Assets with Options on Related Assets","authors":"D. Madan, King Wang","doi":"10.2139/ssrn.3641658","DOIUrl":"https://doi.org/10.2139/ssrn.3641658","url":null,"abstract":"The question addressed is the pricing of options on the CBOE Skew Index. The option pricing theory developed partially hedges risk by taking positions in the market for options on a related asset. The option is then priced at the cost of this hedge. The theory is applied to pricing Volatility Index (VIX) options hedged by the SPDR S&P 500 ETF Trust (SPY) options and pricing options on JPMorgan hedged by Financial Select Sector SPDR (XLF) options. The approach is then applied to illustrate the pricing of CBOE Skew Index options with a hedge in the market for SPY options. The Skew Index smile is then seen to imply the VIX and SKEW of the Skew Index itself. The pricing of VIX options with SPY as the related asset has the Gaussian copula underpricing options while the t-copula significantly overprices them. The multivariate bilateral gamma models are closer to market. The premia of cross-asset hedge prices over the market price are observed to fall with moneyness and maturity and rise with the level of the VIX. TOPICS: Derivatives, options, exchange-traded funds and applications, quantitative methods, statistical methods, performance measurement Key Findings ▪ Time series data on physical returns may be used to obtain market relevant option prices provided market-relevant hedging costs are incorporated. ▪ Options on the CBOE Skew Index are priced at the cost of an SPY option hedge portfolio. ▪ Residual risk pricing technologies may be applied more widely with market calibrated parameters if desired.","PeriodicalId":34223,"journal":{"name":"Jurnal Derivat","volume":"29 1","pages":"27 - 47"},"PeriodicalIF":0.0,"publicationDate":"2020-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47947391","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 6

An Arbitrage-Free Interpolation of Class C2 for Option Prices C2类期权价格的无套利插值

Jurnal Derivat Pub Date : 2020-04-18 DOI: 10.3905/jod.2020.1.119

Fabien Le Floc’h

引用次数: 1