Pub Date : 2016-02-11DOI: 10.1007/s11147-016-9120-4
R. Ivanov, K. Ano
{"title":"On exact pricing of FX options in multivariate time-changed Lévy models","authors":"R. Ivanov, K. Ano","doi":"10.1007/s11147-016-9120-4","DOIUrl":"https://doi.org/10.1007/s11147-016-9120-4","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"19 1","pages":"201 - 216"},"PeriodicalIF":0.8,"publicationDate":"2016-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-016-9120-4","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52907306","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}
Pub Date : 2016-01-30DOI: 10.1007/s11147-016-9119-x
M. Escobar, D. Krause, R. Zagst
{"title":"Stochastic covariance and dimension reduction in the pricing of basket options","authors":"M. Escobar, D. Krause, R. Zagst","doi":"10.1007/s11147-016-9119-x","DOIUrl":"https://doi.org/10.1007/s11147-016-9119-x","url":null,"abstract":"","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"19 1","pages":"165 - 200"},"PeriodicalIF":0.8,"publicationDate":"2016-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11147-016-9119-x","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52907192","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}
Pub Date : 2016-01-08DOI: 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}
Pub Date : 2016-01-01DOI: 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}
Pub Date : 2015-11-11DOI: 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}
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.
{"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}
Pub Date : 2015-07-22DOI: 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}
Pub Date : 2015-07-17DOI: 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}
Pub Date : 2015-07-02DOI: 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}
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