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Review of Derivatives Research最新文献

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Uncertain strike lookback options pricing with floating interest rate 浮动利率的不确定履约回顾期权定价
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2020-08-13 DOI: 10.1007/s11147-020-09170-4
Lidong Zhang, Yanmei Sun, Ziping Du, Xiangbo Meng
{"title":"Uncertain strike lookback options pricing with floating interest rate","authors":"Lidong Zhang, Yanmei Sun, Ziping Du, Xiangbo Meng","doi":"10.1007/s11147-020-09170-4","DOIUrl":"https://doi.org/10.1007/s11147-020-09170-4","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"24 1","pages":"79 - 94"},"PeriodicalIF":0.8,"publicationDate":"2020-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-020-09170-4","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52908560","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
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 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2020-08-10 DOI: 10.1007/s11147-021-09183-7
Patrick Büchel, Michael Kratochwil, Maximilian Nagl, D. Roesch
{"title":"Deep calibration of financial models: turning theory into practice","authors":"Patrick Büchel, Michael Kratochwil, Maximilian Nagl, D. Roesch","doi":"10.1007/s11147-021-09183-7","DOIUrl":"https://doi.org/10.1007/s11147-021-09183-7","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"25 1","pages":"109 - 136"},"PeriodicalIF":0.8,"publicationDate":"2020-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-021-09183-7","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":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Diversification with options and structured products 通过期权和结构性产品实现多元化
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2020-07-23 DOI: 10.1007/s11147-020-09169-x
Shuonan Yuan, Marc Oliver Rieger
{"title":"Diversification with options and structured products","authors":"Shuonan Yuan, Marc Oliver Rieger","doi":"10.1007/s11147-020-09169-x","DOIUrl":"https://doi.org/10.1007/s11147-020-09169-x","url":null,"abstract":"<p>Different from diversification of stocks, there are two strategies to diversify portfolios consisting of options: one is to combine options on single underlying stocks, and the other one is to buy an option based on the index of these stocks. In this paper we analyse which diversification strategy is optimal for classical rational investors with constant relative risk aversion. We employ the Black–Scholes model and the stochastic volatility model of Heston for generating the processes of underlying stocks as well as pricing the derivatives. The results are developed first for options and then extended to some important classes of structured financial products: capital protected notes, discount certificates and bonus certificates. We find that investors’ choices on the two diversification strategies differ noticeably, but in general for convex payoffs index options are preferable, whereas for concave payoffs a portfolio of single stock options has usually higher utility.</p>","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"40 2","pages":""},"PeriodicalIF":0.8,"publicationDate":"2020-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138513647","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
Bermudan option in Singapore Savings Bonds 新加坡储蓄债券的百慕大期权
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2020-07-19 DOI: 10.1007/s11147-020-09168-y
Kian Guan Lim
{"title":"Bermudan option in Singapore Savings Bonds","authors":"Kian Guan Lim","doi":"10.1007/s11147-020-09168-y","DOIUrl":"https://doi.org/10.1007/s11147-020-09168-y","url":null,"abstract":"<p>The Singapore Savings Bonds (SSB) is a unique investment program offered by the Singapore government whereby retail investors can earn risk-free tax-free step-up interest closely matched to Treasury bond rates for up to 10 years and can redeem on any business day prior to maturity without any early redemption penalty. This study analyses the unique design of the SSB and provides a valuation of the Bermudan option for early redemption that is embedded in the SSB. The Black–Derman–Toy model is used to build the interest rate tree, and an iterative method is employed to avoid arbitrary specification of the pre-determined short rate volatility function. This bespoke Bermudan option can have changing strike prices over time. It also has a novel characteristic whereby the value of exercise to a buyer need not equal to the cost of being exercised to a seller. Better understanding of embedded options within government savings bonds leads to innovative designs that may encourage effective citizens’ savings.</p>","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"20 8","pages":""},"PeriodicalIF":0.8,"publicationDate":"2020-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138513656","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
Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes Heston-Nandi GARCH过程驱动的混合信用风险模型中脆弱期权的定价
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2020-06-10 DOI: 10.1007/s11147-020-09167-z
Gechun Liang, Xingchun Wang
{"title":"Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes","authors":"Gechun Liang, Xingchun Wang","doi":"10.1007/s11147-020-09167-z","DOIUrl":"https://doi.org/10.1007/s11147-020-09167-z","url":null,"abstract":"<p>This paper proposes a hybrid credit risk model, in closed form, to price vulnerable options with stochastic volatility. The distinctive features of the model are threefold. First, both the underlying and the option issuer’s assets follow the Heston–Nandi GARCH model with their conditional variance being readily estimated and implemented solely on the basis of the observable prices in the market. Second, the model incorporates both idiosyncratic and systematic risks into the asset dynamics of the underlying and the option issuer, as well as the intensity process. Finally, the explicit pricing formula of vulnerable options enables us to undertake the comparative statistics analysis.</p>","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"38 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2020-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138513650","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: 13
Option-implied information: What’s the vol surface got to do with it? 期权隐含信息:波动面与它有什么关系?
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2020-05-07 DOI: 10.1007/s11147-020-09166-0
Maxim Ulrich, Simon Walther
{"title":"Option-implied information: What’s the vol surface got to do with it?","authors":"Maxim Ulrich, Simon Walther","doi":"10.1007/s11147-020-09166-0","DOIUrl":"https://doi.org/10.1007/s11147-020-09166-0","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"23 1","pages":"323 - 355"},"PeriodicalIF":0.8,"publicationDate":"2020-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-020-09166-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46496653","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
Computing valuation adjustments for counterparty credit risk using a modified supervisory approach 使用改进的监管方法计算交易对手信用风险的估值调整
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2020-01-14 DOI: 10.1007/s11147-019-09165-w
Patrick Büchel, Michael Kratochwil, Daniel Rösch
{"title":"Computing valuation adjustments for counterparty credit risk using a modified supervisory approach","authors":"Patrick Büchel, Michael Kratochwil, Daniel Rösch","doi":"10.1007/s11147-019-09165-w","DOIUrl":"https://doi.org/10.1007/s11147-019-09165-w","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"1 1","pages":"1-50"},"PeriodicalIF":0.8,"publicationDate":"2020-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-019-09165-w","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42284227","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
The value of power-related options under spectrally negative Lévy processes 谱负Lévy过程下幂相关期权的价值
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-10-17 DOI: 10.1007/s11147-020-09174-0
Jean-Philippe Aguilar
{"title":"The value of power-related options under spectrally negative Lévy processes","authors":"Jean-Philippe Aguilar","doi":"10.1007/s11147-020-09174-0","DOIUrl":"https://doi.org/10.1007/s11147-020-09174-0","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"24 1","pages":"173 - 196"},"PeriodicalIF":0.8,"publicationDate":"2019-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-020-09174-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43366064","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
A note on options and bubbles under the CEV model: implications for pricing and hedging 关于CEV模型下的期权和泡沫:对定价和对冲的影响
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-09-24 DOI: 10.1007/s11147-019-09164-x
José Carlos Dias, João Pedro Vidal Nunes, Aricson Cruz
{"title":"A note on options and bubbles under the CEV model: implications for pricing and hedging","authors":"José Carlos Dias, João Pedro Vidal Nunes, Aricson Cruz","doi":"10.1007/s11147-019-09164-x","DOIUrl":"https://doi.org/10.1007/s11147-019-09164-x","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"23 1","pages":"249 - 272"},"PeriodicalIF":0.8,"publicationDate":"2019-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-019-09164-x","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42439746","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: 5
Portfolio construction using bootstrapping neural networks: evidence from global stock market 利用自举神经网络构建投资组合：来自全球股市的证据
IF 0.8 4区 经济学
Review of Derivatives Research Pub Date : 2019-07-25 DOI: 10.1007/s11147-019-09163-y
Hsiao-Fen Hsiao, Jiang-Chuan Huang, Zheng-Wei Lin
{"title":"Portfolio construction using bootstrapping neural networks: evidence from global stock market","authors":"Hsiao-Fen Hsiao, Jiang-Chuan Huang, Zheng-Wei Lin","doi":"10.1007/s11147-019-09163-y","DOIUrl":"https://doi.org/10.1007/s11147-019-09163-y","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"23 1","pages":"227 - 247"},"PeriodicalIF":0.8,"publicationDate":"2019-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-019-09163-y","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48917914","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
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