Global ETD Search

Superreplication method for multi-asset barrier options.

Dharmawan, KomangUNSW, Sydney2005

… of this thesis is to study multi-asset barrier options, where the volatilities of the stocks are assumed to define a matrix-valued bounded stochastic process. The bounds on volatilities may represent, for instance, the extreme values of the volatilities of traded options. As the volatilities are …

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Analytical Solutions of the SABR Stochastic Volatility Model

Wu, Qi2012

… in today's interconnected financial world. When options are traded, we need to specify what the underlying asset an option contract is written on. For example, is it an option on IBM stock or on precious metal? Is it an option on Sterling-Euro exchange rate or on US dollar interest rates? Usually …

columbia-diss Repository record for Analytical Solutions of the SABR Stochastic Volatility Model (opens in a new tab)

Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions

Lin, Cheng-I EricUniversity of North Texas2007

… markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected by arbitrage mechanism that …

unt Repository record for Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions (opens in a new tab)

Beyond Black and Scholes: Uncertainty aversion, delta-vega hedging, and bubbles and crashes

Herrmann, SebastianETH Zurich2016

ethz Repository record for Beyond Black and Scholes: Uncertainty aversion, delta-vega hedging, and bubbles and crashes (opens in a new tab)

Three essays in options pricing: 1. Volatilities implied by price changes in the S&P 500 options and future contracts 2. Price changes in the S&P options and futures contracts: a regression analysis 3. Hedging price changes in the S&P 500 options and futures contracts: the effect of different measures of implied volatility

Hilliard, JitkaFinance (Business Administration)2022

… are tick-data on pit traded S&P 500 futures options and their underlying from 1998 to 2006. I find that implied price change volatility has similar time series behavior and moneyness and maturity effects as implied volatility. However, the price change volatility is more disperse than implied …

lsu-thes Repository record for Three essays in options pricing: 1. Volatilities implied by price changes in the S&P 500 options and future contracts 2. Price changes in the S&P options and futures contracts: a regression analysis 3. Hedging price changes in the S&P 500 options and futures contracts: the effect of different measures of implied volatility (opens in a new tab)

An empirical comparison using both the term structure of interest rates and alternative models in pricing options on 90-day BAB futures

Chau, IreneEdith Cowan University, Research Online, Perth, Western Australia1999

… of the term structure of interest rates to price options is relatively new in the literature. It describes the relationship between interest rates and the maturities of bonds. The first model that described the interest rate process was the Vasicek (1977) model. There have been many studies on the …

edithcowan Repository record for An empirical comparison using both the term structure of interest rates and alternative models in pricing options on 90-day BAB futures (opens in a new tab)