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Calculating Value-at-Risk Using Option Implied Probability Distribution of Asset Price
In this article, the author uses the probability distribution of asset prices extracted from option prices to get the VaR of a portfolio using Monte-Carlo method.
Fri 10 May 2024
American π: Piece of Cake?
Textbooks tell you that pricing an American option in the context of the binomial model is a lot easier than it sounds. Is it really simple and obvious? Yes…and no.
Wed 21 Feb 2024
The Heston–Hull–White Model Part II: Numerics and Examples
In this article, the authors review the methods for pricing European options using the Heston-Hull-White model.
Wed 15 Nov 2023
Primer on Arbitrage and Asset Pricing
In this paper, the authors go back to basics with arbitrage and asset pricing.
Thu 19 Oct 2023
Barrier Options and Lumpy Dividends
In this article, the authors study the pricing of barrier options on stocks with lumpy dividends.
Fri 26 May 2023
Approximation of Continuous Monitoring with Discrete Monitoring Applied to Down—And—Out Options
In this paper, Stefan Ebenfeld and Damaris Hilzinger consider down—and—out options in the Black—Scholes framework.
Thu 23 Mar 2023
Pricing Credit Derivatives with Uncertain Default Probabilities
In this article, the author presents a model for pricing credit spread options in an environment where the rating transition probabilities are uncertain parameters.
Tue 11 Oct 2022
Swaptions: 1 Price, 10 Deltas, and … 61/2 Gammas*
This article compares simple risk measures (first and second order sensitivity to the underlying yield curve) for simple instruments (swaptions).
Thu 1 Sep 2022
Can anyone solve the smile problem?
In this paper, the authors explore whether the smile problem can be solved and provide a general reflection of the problem.
Tue 31 May 2022
Knock-in/out Margrabe
In this paper, Espen G. Haug and Jorgen Haug push the Black-Scholes-Merton (BSM) formula to the limit by using it to value exchange-one-asset-for-another options with knock-in or knock-out provisions that depend on the ratio of the two asset prices.
Tue 31 May 2022
