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Review of Derivatives Research最新文献

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Pricing vulnerable basket spread options with liquidity risk 具有流动性风险的弱势篮子价差期权定价
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2022-10-17 DOI: 10.1007/s11147-022-09192-0
Z. Dong, D. Tang, Xingchun Wang
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引用次数: 3
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities 基于Garman-Kohlhagen delta和隐含波动率的外汇期权市场无套利微笑构建
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2022-09-18 DOI: 10.1007/s11147-022-09189-9
Matthias Muck
{"title":"Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities","authors":"Matthias Muck","doi":"10.1007/s11147-022-09189-9","DOIUrl":"https://doi.org/10.1007/s11147-022-09189-9","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"25 1","pages":"293 - 314"},"PeriodicalIF":0.8,"publicationDate":"2022-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45950820","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: 1
Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index 无模型隐含方差的渐近外推:探讨VIX指数的结构性低估
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2022-09-18 DOI: 10.1007/s11147-022-09190-2
Philip Stahl
{"title":"Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index","authors":"Philip Stahl","doi":"10.1007/s11147-022-09190-2","DOIUrl":"https://doi.org/10.1007/s11147-022-09190-2","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"25 1","pages":"315 - 339"},"PeriodicalIF":0.8,"publicationDate":"2022-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49149611","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
CMS spread options in quadratic Gaussian model 二次高斯模型中的CMS价差期权
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2022-09-10 DOI: 10.1007/s11147-022-09188-w
P. Rakhmonov, Firuz Rakhmonov
{"title":"CMS spread options in quadratic Gaussian model","authors":"P. Rakhmonov, Firuz Rakhmonov","doi":"10.1007/s11147-022-09188-w","DOIUrl":"https://doi.org/10.1007/s11147-022-09188-w","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"20 1","pages":"283 - 291"},"PeriodicalIF":0.8,"publicationDate":"2022-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41289337","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
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach Bakshi、Kapadia和Madan（2003）风险中性矩估计：Gram–Charlier密度方法
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2022-06-21 DOI: 10.1007/s11147-022-09187-x
Pakorn Aschakulporn, Jin E. Zhang
{"title":"Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach","authors":"Pakorn Aschakulporn, Jin E. Zhang","doi":"10.1007/s11147-022-09187-x","DOIUrl":"https://doi.org/10.1007/s11147-022-09187-x","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"25 1","pages":"233 - 281"},"PeriodicalIF":0.8,"publicationDate":"2022-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48371370","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: 1
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation 障碍期权定价与生存概率计算的多维希尔伯特变换方法
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2022-04-02 DOI: 10.1007/s11147-022-09186-y
Jie Chen, Liaoyuan Fan, Lingfei Li, Gongqiu Zhang
{"title":"A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation","authors":"Jie Chen, Liaoyuan Fan, Lingfei Li, Gongqiu Zhang","doi":"10.1007/s11147-022-09186-y","DOIUrl":"https://doi.org/10.1007/s11147-022-09186-y","url":null,"abstract":"<p>This paper proposes a multidimensional Hilbert transform approach for pricing discretely monitored multi-asset barrier options and computing joint survival probability in multivariate exponential Lévy asset price models. We generalize the univariate Hilbert transform method of Feng and Linetsky (Math Financ 18(3), 337–384, 2008) for single-asset barrier options and the well-known Sinc approximation theory of Stenger (Numerical methods based on sinc and analytic functions. Springer, New York, 1993) for computing the one-dimensional Hilbert transform to any dimension. We prove that, for Lévy processes with joint characteristic functions having an exponentially decaying tail, the error of our method decays exponentially in some power of the number of terms used in the expansion for each dimension. Numerical experiments demonstrate the efficiency of our method in the two-dimensional and three-dimensional problems for some popular multivariate Lévy models.\u0000</p>","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"37 5","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138513651","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
Oil futures volatility smiles in 2020: Why the bachelier smile is flatter 石油期货波动率在2020年微笑:为什么单身汉的微笑更平坦
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2022-02-15 DOI: 10.1007/s11147-022-09185-z
R. Galeeva, Ehud I. Ronn
{"title":"Oil futures volatility smiles in 2020: Why the bachelier smile is flatter","authors":"R. Galeeva, Ehud I. Ronn","doi":"10.1007/s11147-022-09185-z","DOIUrl":"https://doi.org/10.1007/s11147-022-09185-z","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"25 1","pages":"173 - 187"},"PeriodicalIF":0.8,"publicationDate":"2022-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52908875","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: 1
Hedging cryptocurrency options 对冲加密货币期权
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2021-11-23 DOI: 10.1007/s11147-023-09194-6
Jovanka Matić, N. Packham, W. Härdle
{"title":"Hedging cryptocurrency options","authors":"Jovanka Matić, N. Packham, W. Härdle","doi":"10.1007/s11147-023-09194-6","DOIUrl":"https://doi.org/10.1007/s11147-023-09194-6","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"26 1","pages":"91 - 133"},"PeriodicalIF":0.8,"publicationDate":"2021-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44709585","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
The impact of non-cash collateralization on the over-the-counter derivatives markets 非现金抵押对场外衍生品市场的影响
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2021-11-17 DOI: 10.1007/s11147-021-09184-6
Kazuhiro Takino
{"title":"The impact of non-cash collateralization on the over-the-counter derivatives markets","authors":"Kazuhiro Takino","doi":"10.1007/s11147-021-09184-6","DOIUrl":"https://doi.org/10.1007/s11147-021-09184-6","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"25 1","pages":"137 - 171"},"PeriodicalIF":0.8,"publicationDate":"2021-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46198255","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
Economic policy uncertainty and volatility of treasury futures 经济政策的不确定性与国债期货的波动性
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2021-09-03 DOI: 10.1007/s11147-021-09182-8
Maojun Zhang, Yang Zhao, Jiangxia Nan
{"title":"Economic policy uncertainty and volatility of treasury futures","authors":"Maojun Zhang, Yang Zhao, Jiangxia Nan","doi":"10.1007/s11147-021-09182-8","DOIUrl":"https://doi.org/10.1007/s11147-021-09182-8","url":null,"abstract":"<p>This paper investigates the relation between Treasury futures market volatility and economic policy uncertainty using GARCH-MIDAS. We formulated models with the realized volatility of Treasury futures, the level and volatility of economic policy uncertainty. We find that the realized volatility of Treasury futures and economic policy uncertainty play a significant role in the dynamics of long-run volatility in Treasury futures markets in China and United States.\u0000</p>","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"65 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2021-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140930461","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
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