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Review of Derivatives Research最新文献

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Hedging cryptocurrency options. 对冲加密货币期权
IF 0.7 4区 经济学
Review of Derivatives Research Pub Date : 2023-01-01 Epub Date: 2023-02-10 DOI: 10.1007/s11147-023-09194-6
Jovanka Lili Matic, Natalie Packham, Wolfgang Karl Härdle
{"title":"Hedging cryptocurrency options.","authors":"Jovanka Lili Matic, Natalie Packham, Wolfgang Karl Härdle","doi":"10.1007/s11147-023-09194-6","DOIUrl":"10.1007/s11147-023-09194-6","url":null,"abstract":"<p><p>The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study the hedge behaviour and effectiveness for the class of affine jump diffusion models and infinite activity Lévy processes. First, market data is calibrated to stochastic volatility inspired-implied volatility surfaces to price options. To cover a wide range of market dynamics, we generate Monte Carlo price paths using an stochastic volatility with correlated jumps model, a close-to-actual-market GARCH-filtered kernel density estimation as well as a historical backtest. In all three settings, options are dynamically hedged with Delta, Delta-Gamma, Delta-Vega and Minimum Variance strategies. Including a wide range of market models allows to understand the trade-off in the hedge performance between complete, but overly parsimonious models, and more complex, but incomplete models. The calibration results reveal a strong indication for stochastic volatility, low jump frequency and evidence of infinite activity. Short-dated options are less sensitive to volatility or Gamma hedges. For longer-dated options, tail risk is consistently reduced by multiple-instrument hedges, in particular by employing complete market models with stochastic volatility.</p>","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"26 1","pages":"91-133"},"PeriodicalIF":0.7,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9911343/pdf/","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":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Continuity correction: on the pricing of discrete double barrier options 连续性修正：关于离散双障碍期权的定价
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2022-11-24 DOI: 10.1007/s11147-022-09193-z
S. Luo, Hsin-Chieh Wong
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引用次数: 0
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
{"title":"Pricing vulnerable basket spread options with liquidity risk","authors":"Z. Dong, D. Tang, Xingchun Wang","doi":"10.1007/s11147-022-09192-0","DOIUrl":"https://doi.org/10.1007/s11147-022-09192-0","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"26 1","pages":"23-50"},"PeriodicalIF":0.8,"publicationDate":"2022-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49501293","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
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
Deep calibration of financial models: turning theory into practice. 金融模型的深度校准：将理论转化为实践
IF 0.7 4区 经济学
Review of Derivatives Research Pub Date : 2022-01-01 Epub Date: 2021-08-17 DOI: 10.1007/s11147-021-09183-7
Patrick Büchel, Michael Kratochwil, Maximilian Nagl, Daniel Rösch
{"title":"Deep calibration of financial models: turning theory into practice.","authors":"Patrick Büchel, Michael Kratochwil, Maximilian Nagl, Daniel Rösch","doi":"10.1007/s11147-021-09183-7","DOIUrl":"10.1007/s11147-021-09183-7","url":null,"abstract":"<p><p>The calibration of financial models is laborious, time-consuming and expensive, and needs to be performed frequently by financial institutions. Recently, the application of artificial neural networks (ANNs) for model calibration has gained interest. This paper provides the first comprehensive empirical study on the application of ANNs for calibration based on observed market data. We benchmark the performance of the ANN approach against a real-life calibration framework that is in action at a large financial institution. The ANN based calibration framework shows competitive calibration results, roughly four times faster with less computational efforts. Besides speed and efficiency, the resulting model parameters are found to be more stable over time, enabling more reliable risk reports and business decisions. Furthermore, the calibration framework involves multiple validation steps to counteract regulatory concerns regarding its practical application.</p>","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"25 1","pages":"109-136"},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8367774/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45435633","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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 0.7 4区 经济学
Review of Derivatives Research Pub Date : 2022-01-01 Epub 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":"10.1007/s11147-022-09189-9","url":null,"abstract":"<p><p>This paper addresses arbitrage-free FX smile construction from near-term implied volatility dynamics proposed by Carr (J Financ Econ, 120(1), 1-20, 2016). The approach is directly applicable to FX option market conventions. Prices of market benchmark contracts (risk reversals and butterflies) are identified as the roots of a cubic polynomial and ATM-volatility can be matched by construction. Implied volatilities are computed with respect to (non-premium adjusted) option deltas. The approach is compared to the Vanna Volga Approach, which does not guarantee arbitrage-free prices. An empirical application to a normal and a stress scenario demonstrates that arbitrage-free implied volatilities coincide with those from the Vanna Volga Approach when prices are interpolated between the <math><mi>Δ</mi></math> 25-call and <math><mi>Δ</mi></math> 25-put options. Differences are observed when implied volatilities are extrapolated to the wings. Empirically, these differences are particularly relevant in a stress scenario during the Coronavirus crises (2020).</p>","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"25 1","pages":"293-314"},"PeriodicalIF":0.7,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9483449/pdf/","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":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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