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Review of Derivatives Research最新文献

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On exact pricing of FX options in multivariate time-changed Lévy models 多元时变lsamvy模型下外汇期权的精确定价
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2016-02-11 DOI: 10.1007/s11147-016-9120-4
R. Ivanov, K. Ano
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引用次数: 18
Stochastic covariance and dimension reduction in the pricing of basket options 篮子期权定价中的随机协方差与降维
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2016-01-30 DOI: 10.1007/s11147-016-9119-x
M. Escobar, D. Krause, R. Zagst
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引用次数: 2
Option pricing model with sentiment 考虑市场情绪的期权定价模型
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2016-01-08 DOI: 10.1007/s11147-015-9118-3
Chunpeng Yang, B. Gao, Jianlei Yang
{"title":"Option pricing model with sentiment","authors":"Chunpeng Yang, B. Gao, Jianlei Yang","doi":"10.1007/s11147-015-9118-3","DOIUrl":"https://doi.org/10.1007/s11147-015-9118-3","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"19 1","pages":"147 - 164"},"PeriodicalIF":0.8,"publicationDate":"2016-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-015-9118-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52907106","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? 从加权均等的欧洲期权篮子中获得的信息，是否足以决定诸如最差期权等另类衍生品的价格?
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2016-01-01 DOI: 10.1007/s11147-015-9115-6
Jacinto Marabel Romo
{"title":"Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?","authors":"Jacinto Marabel Romo","doi":"10.1007/s11147-015-9115-6","DOIUrl":"https://doi.org/10.1007/s11147-015-9115-6","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"19 1","pages":"65-83"},"PeriodicalIF":0.8,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-015-9115-6","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52906702","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Migrate or not? The effects of regulation SHO on options trading activities 移民还是不移民?监管SHO对期权交易活动的影响
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2015-11-11 DOI: 10.1007/s11147-015-9117-4
Yubin Li, Chen Zhao, Z. Zhong
{"title":"Migrate or not? The effects of regulation SHO on options trading activities","authors":"Yubin Li, Chen Zhao, Z. Zhong","doi":"10.1007/s11147-015-9117-4","DOIUrl":"https://doi.org/10.1007/s11147-015-9117-4","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"40 1","pages":"113 - 146"},"PeriodicalIF":0.8,"publicationDate":"2015-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-015-9117-4","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52906864","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Minimum return guarantees, investment caps, and investment flexibility 最低回报保证、投资上限和投资灵活性
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2015-11-07 DOI: 10.1007/s11147-015-9116-5
Antje Mahayni, Judith C. Schneider
{"title":"Minimum return guarantees, investment caps, and investment flexibility","authors":"Antje Mahayni, Judith C. Schneider","doi":"10.1007/s11147-015-9116-5","DOIUrl":"https://doi.org/10.1007/s11147-015-9116-5","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"19 1","pages":"85 - 111"},"PeriodicalIF":0.8,"publicationDate":"2015-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-015-9116-5","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52906818","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Minimum return guarantees, investment caps, and investment flexibility 最低回报保证、投资上限和投资灵活性
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2015-07-30 DOI: 10.2139/ssrn.2190256
Antje Mahayni, Judith C. Schneider
{"title":"Minimum return guarantees, investment caps, and investment flexibility","authors":"Antje Mahayni, Judith C. Schneider","doi":"10.2139/ssrn.2190256","DOIUrl":"https://doi.org/10.2139/ssrn.2190256","url":null,"abstract":"We study the merits of capped retirement products with guarantee for investors who have the flexibility to dynamically adjust their investment strategy. All contracts under consideration are fairly priced such that the net profit of the provider is zero. Without the rider, an expected utility maximizing CRRA investor does not want an investment cap. Here, she commits herself to a strategy a priori. With the flexibility rider, the optimization problem changes and the optimal strategy is a response to an exogenously set price. A fair pricing then anticipates the optimal response of the investor. We show that the maximum expected utility of the investor can, for anticipated fairly priced products, be obtained for a finite cap. Thus, a capped product design can give a Pareto improvement to the otherwise uncapped contract version.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"19 1","pages":"85-111"},"PeriodicalIF":0.8,"publicationDate":"2015-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.2139/ssrn.2190256","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67976809","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options 考虑交易对手风险的上限和下限信用估值调整:脆弱欧洲期权的结构性定价模型
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2015-07-22 DOI: 10.1007/s11147-015-9114-7
Lie-Jane Kao
{"title":"Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options","authors":"Lie-Jane Kao","doi":"10.1007/s11147-015-9114-7","DOIUrl":"https://doi.org/10.1007/s11147-015-9114-7","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"19 1","pages":"41 - 64"},"PeriodicalIF":0.8,"publicationDate":"2015-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-015-9114-7","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52906593","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes 利用解耦时变lsamvy过程对资产和波动率衍生品进行估值
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2015-07-17 DOI: 10.1007/s11147-015-9113-8
L. Torricelli
{"title":"Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes","authors":"L. Torricelli","doi":"10.1007/s11147-015-9113-8","DOIUrl":"https://doi.org/10.1007/s11147-015-9113-8","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"19 1","pages":"1 - 39"},"PeriodicalIF":0.8,"publicationDate":"2015-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-015-9113-8","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52906558","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
A copula-based approach for generating lattices 一种基于公式的生成格的方法
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2015-07-02 DOI: 10.1007/s11147-015-9111-x
Tianyang Wang, J. Dyer, W. Hahn
{"title":"A copula-based approach for generating lattices","authors":"Tianyang Wang, J. Dyer, W. Hahn","doi":"10.1007/s11147-015-9111-x","DOIUrl":"https://doi.org/10.1007/s11147-015-9111-x","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"18 1","pages":"263 - 289"},"PeriodicalIF":0.8,"publicationDate":"2015-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-015-9111-x","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52906283","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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