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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 Q4 BUSINESS, FINANCE
Review of Derivatives Research
Pub Date : 2020-08-13 DOI: 10.1007/s11147-020-09170-4
Lidong Zhang, Yanmei Sun, Ziping Du, Xiangbo Meng
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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 Q4 BUSINESS, FINANCE
Review of Derivatives Research
Pub Date : 2020-08-10 DOI: 10.1007/s11147-021-09183-7
Patrick Büchel, Michael Kratochwil, Maximilian Nagl, D. Roesch
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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 Q4 BUSINESS, FINANCE
Review of Derivatives Research
Pub Date : 2020-07-23 DOI: 10.1007/s11147-020-09169-x
Shuonan Yuan, Marc Oliver Rieger

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.

与股票分散不同的是，由期权组成的投资组合的分散策略有两种:一种是将单个标的股票的期权组合起来，另一种是根据这些股票的指数购买期权。本文分析了具有恒定相对风险厌恶的经典理性投资者的最优分散投资策略。我们采用布莱克-斯科尔斯模型和赫斯顿随机波动模型来生成标的股票的过程以及衍生品的定价。研究结果首先用于期权，然后扩展到一些重要的结构性金融产品类别:保本票据、贴现凭证和奖金凭证。我们发现投资者对两种分散投资策略的选择差异显著，但一般而言，对于凸收益，指数期权更可取，而对于凹收益，单一股票期权组合通常具有更高的效用。
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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 Q4 BUSINESS, FINANCE
Review of Derivatives Research
Pub Date : 2020-07-19 DOI: 10.1007/s11147-020-09168-y
Kian Guan Lim

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.

新加坡储蓄债券(SSB)是新加坡政府提供的一项独特的投资计划，散户投资者可以获得与国债利率密切相关的无风险免税升息，最长可达10年，并且可以在到期前的任何一个工作日赎回，而不会受到任何提前赎回的处罚。本研究分析了百慕大特别提款权的独特设计，并提供了百慕大特别提款权中嵌入的早期赎回期权的估值。采用Black-Derman-Toy模型构建利率树，并采用迭代法避免了预先确定的短期利率波动函数的任意规范。这种定制的百慕大期权可以随时间变化执行价格。它还有一个新颖的特点，即买方行使权的价值不必等于卖方行使权的成本。更好地理解政府储蓄债券中的嵌入选项，可以带来创新的设计，从而鼓励有效的公民储蓄。
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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 Q4 BUSINESS, FINANCE
Review of Derivatives Research
Pub Date : 2020-06-10 DOI: 10.1007/s11147-020-09167-z
Gechun Liang, Xingchun Wang

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.

本文提出了一种封闭的混合信用风险模型，用于对随机波动率的脆弱期权进行定价。该模型的特点有三点。首先，标的资产和期权发行者的资产都遵循Heston-Nandi GARCH模型，其条件方差仅根据市场上的可观察价格易于估计和实现。其次，该模型将特殊风险和系统风险纳入标的和期权发行者的资产动态以及强度过程中。最后，利用易损期权的显式定价公式进行比较统计分析。
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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 Q4 BUSINESS, FINANCE
Review of Derivatives Research
Pub Date : 2020-05-07 DOI: 10.1007/s11147-020-09166-0
Maxim Ulrich, Simon Walther
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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 Q4 BUSINESS, FINANCE
Review of Derivatives Research
Pub Date : 2020-01-14 DOI: 10.1007/s11147-019-09165-w
Patrick Büchel, Michael Kratochwil, Daniel Rösch
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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 Q4 BUSINESS, FINANCE
Review of Derivatives Research
Pub Date : 2019-10-17 DOI: 10.1007/s11147-020-09174-0
Jean-Philippe Aguilar
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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 Q4 BUSINESS, FINANCE
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
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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 Q4 BUSINESS, FINANCE
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
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引用次数: 3
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