Jurnal Derivat最新文献_第8页

Editor’s Letter 编辑的信

Jurnal Derivat Pub Date : 2019-08-30 DOI: 10.3905/jod.2019.27.1.001

Joseph M. Pimbley

引用次数: 0

Towards a General Local Volatility Model for All Asset Classes 所有资产类别的一般局部波动性模型

Jurnal Derivat Pub Date : 2019-08-30 DOI: 10.3905/jod.2019.1.079

D. Gatarek, J. Jabłecki

{"title":"Towards a General Local Volatility Model for All Asset Classes","authors":"D. Gatarek, J. Jabłecki","doi":"10.3905/jod.2019.1.079","DOIUrl":"https://doi.org/10.3905/jod.2019.1.079","url":null,"abstract":"The authors propose a unified approach to local volatility modeling, encompassing all asset classes, with straightforward application to equity and interest rate underlyings. Specifically, they consider a local volatility model for asset-for-asset or Margrabe (1978) options under general conditions that underlying dynamics follow Itô processes and derive a closed-form non-parametric local volatility formula. They then show that many standard contracts—European equity, FX, and interest rate options—can be seen as particular examples of the Margrabe-type payoff, which allows them to analyze equity and interest rate instruments, for example, as special cases of the same general local volatility model, rather than two separate models. They then derive a Markovian projection for the general model, with an approximate local volatility diffusion for the Margrabe option underlying. Finally, they discuss a specific application of the model to swaptions qua asset-for-asset options, where they consider the Markovian projection with some frozen parameters as a minimal “poor man’s” model, featuring equity-like dynamics for the swap rate with its own “short rate” and the “dividend” implied from the term structure of interest rates. Using a number of numerical examples, they compare the minimal model to a fully fledged Cheyette local volatility model and the market benchmark Hull–White one-factor model (Hull and White 1990), demonstrating the adequacy of the “poor man’s” model for pricing European and Bermudan payoffs. TOPICS: Options, statistical methods","PeriodicalId":34223,"journal":{"name":"Jurnal Derivat","volume":"27 1","pages":"14 - 31"},"PeriodicalIF":0.0,"publicationDate":"2019-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47035201","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: 3

Remembering Mark Rubinstein 纪念马克·鲁宾斯坦

Jurnal Derivat Pub Date : 2019-08-30 DOI: 10.3905/jod.2019.1.082

M. Brenner, E. Derman, R. Jarrow, Eric S. Reiner

引用次数: 0

Quadrinomial Trees to Value Options in Stochastic Volatility Models 随机波动率模型中价值期权的二次型树

Jurnal Derivat Pub Date : 2019-08-30 DOI: 10.3905/jod.2019.1.076

Julian A. Pareja-Vasseur, Freddy H. Marín-Sánchez

{"title":"Quadrinomial Trees to Value Options in Stochastic Volatility Models","authors":"Julian A. Pareja-Vasseur, Freddy H. Marín-Sánchez","doi":"10.3905/jod.2019.1.076","DOIUrl":"https://doi.org/10.3905/jod.2019.1.076","url":null,"abstract":"This article describes in detail the multiplicative quadrinomial tree numerical method with nonconstant volatility, based on a system of stochastic differential equations of the GARCH-diffusion type. The methodology allowed for the derivation of the first two moments of the proposed equations to estimate the respective recombination between discrete and continuous processes and, as a result, a numerical methodological proposal is formally presented to value, with relative ease, both real and financial options, when the volatility is stochastic. The main findings showed that in the proposed method, when volatility approaches zero, the multiplicative binomial traditional method is a particular case, and the results are comparable between these methodologies, as well as to the exact solution offered by the Black–Scholes model. Finally, the originality of the methodological proposal is that it allows for the emulation in a simple way of the presence of a nonconstant volatility in the price of the underlying asset, and it can be used to value all kinds of options both in the real world and in risk-neutral situations. TOPICS: Options, derivatives","PeriodicalId":34223,"journal":{"name":"Jurnal Derivat","volume":"27 1","pages":"49 - 66"},"PeriodicalIF":0.0,"publicationDate":"2019-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jod.2019.1.076","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49563124","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: 2

An Improved Estimation Method for a Family of GARCH Models 一类GARCH模型的改进估计方法

Jurnal Derivat Pub Date : 2019-07-11 DOI: 10.3905/jod.2019.1.081

P. Létourneau

引用次数: 0

Black–Scholes and Heston Models with Stochastic Interest Rates and Term Structure of Volatilities 具有随机利率和波动性期限结构的Black-Scholes和Heston模型

Jurnal Derivat Pub Date : 2019-07-05 DOI: 10.3905/jod.2019.1.078

Alberto Bueno-Guerrero

引用次数: 1

American Option Pricing: An Accelerated Lattice Model with Intelligent Lattice Search 美式期权定价：一个具有智能格搜索的加速格模型

Jurnal Derivat Pub Date : 2019-07-04 DOI: 10.3905/jod.2019.1.080

Qianru Shang, Brian Byrne

引用次数: 2

Swaption Portfolio Risk Management: Optimal Model Selection in Different Interest Rate Regimes 互换投资组合风险管理：不同利率制度下的最优模型选择

Jurnal Derivat Pub Date : 2019-06-21 DOI: 10.3905/jod.2019.1.083

Poh Ling Neo, C. W. Tee

{"title":"Swaption Portfolio Risk Management: Optimal Model Selection in Different Interest Rate Regimes","authors":"Poh Ling Neo, C. W. Tee","doi":"10.3905/jod.2019.1.083","DOIUrl":"https://doi.org/10.3905/jod.2019.1.083","url":null,"abstract":"The authors formulate a risk-based swaption portfolio management framework for a profit-and-loss (P&L) explanation. They analyze the implication of using the right volatility backbone in the pricing model from a hedging perspective and demonstrate the importance of incorporating a stability and robustness measure as part of the calibration process for optimal model selection. They also derive a displaced-diffusion stochastic volatility model with a closed-form analytical expression to handle negative interest rates. Finally, they show that their framework is able to identify the optimal pricing model, which leads to a superior P&L explanation and hedging performance. TOPICS: Risk management, portfolio management/multi-asset allocation, derivatives, factor-based models Key Findings • A holistic, risk-based calibration framework allows one to select the optimal pricing model with superior P&L explanation performance. • A displaced-diffusion stochastic volatility model with closed-form expression provides a means to price swaptions efficiently under both positive and negative interest rate regimes while capturing the volatility backbone. • Using the Herfindahl index to measure the concentration of hedging performance, we show that the optimal model exhibits stability and robustness of model parameters, along with the economy of the explanatory power of daily P&L movement.","PeriodicalId":34223,"journal":{"name":"Jurnal Derivat","volume":"27 1","pages":"107 - 81"},"PeriodicalIF":0.0,"publicationDate":"2019-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46948243","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: 1

A Simple Accurate Binomial Tree for Pricing Options on Stocks with Known Dollar Dividends 已知美元股利股票期权定价的简单准确二叉树

Jurnal Derivat Pub Date : 2019-05-31 DOI: 10.3905/jod.2019.26.4.054

Shuxin Guo, Qiang Liu

引用次数: 1

Range-Curtailing for Options with Discrete Dividend Payments under General Diffusions 一般扩散条件下离散股利支付期权的区间限制

Jurnal Derivat Pub Date : 2019-05-31 DOI: 10.3905/jod.2019.26.4.009

Deeveya Thakoor, M. Bhuruth

引用次数: 1