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Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
Mean-Variance Hedging Pricing European Options Non-continuous Trading
2010/4/28
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizi...
Improved Frechet bounds and model-free pricing of multi-asset options
copulas Frechet-Hoeffding bounds concordance order basket options
2010/4/28
We compute the improved bounds on the copula of a bivariate random vector when partial information is available, such as the values of the copula on the subset of $[0,1]^2$, or the value of a function...
We performed a comprehensive analysis on the price bounds of CDO tranche options, and illustrated that the CDO tranche option prices can be effectively bounded by the joint distribution of default tim...
Error Estimates for Multinomial Approximations of American Options in Merton's Model
Multinomial Approximations American Options Merton's Model
2010/4/28
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type c...