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A generalized binomial model and option pricing formulae for subordinated stock-price processes
A generalized binomial model option pricing formulae subordinated stock-price processes
2009/9/22
The first half of the paper is intended as a short survey
on discrete- and continuous-time option pricing. In the second part,
we develop new concepts and derive new results for option valuations
w...
An application of wavelet analysis to pricing and hedging derivative securities
An application of wavelet analysis pricing and hedging derivative securities
2009/9/22
This work provides an application of wavelet analysis
to pricing and hedging path-dependent contingent claims within the
framework of the Black-Scholes model.
THE MODIFIED TEMPERED STABLE DISTRIBUTION, GARCH MODELS AND OPTION PRICING
Option pricing GARCH process tempered stable distribution volatility clustering
2009/9/18
We introduce a new variant of the tempered stable distribution,
named the modified tempered stable (MTS) distribution and we develop
a GARCH option pricing model with MTS innovations. This model
al...
Martingale selection problem and asset pricing in finite discrete time
Martingale selection problem asset pricing finite discrete time
2009/3/23
Given a set-valued stochastic process (Vt)t=0,...,T, we say that the martingale selection problem is solvable if there exists an adapted sequence of selectors ξt in Vt, admitting an equivalent marting...
Game-Theoretic Derivation of Discrete Distributions and Discrete Pricing Formulas
binomial distribution Cox-Ross-Rubinstein formula hypergeometric distribution lower price Polya's distribution probability protocol replicating strategy upper price
2009/3/5
In this expository paper, we illustrate the generality of the game-theoretic probability protocols of Shafer and Vovk (2001) in finite-horizon discrete games. By restricting ourselves to finite-horizo...
Information-Based Asset Pricing
Asset pricing partial information stochastic volatility correlation dividendgrowth Brownian bridge
2010/4/28
A new framework for asset price dynamics is introduced in which the
concept of noisy information about future cash flows is used to derive the corresponding
price processes. In this framework an ass...
Least Squares Importance Sampling for Monte Carlo Security Pricing
Monte Carlo Simulations Variance Reduction Techniques Importance Sampling Derivatives Pricing
2010/4/27
We describe a simple Importance Sampling strategy for Monte Carlo simulations based on a least
squares optimization procedure. With several numerical examples, we show that such Least Squares Importa...