Wujiang Lou shows the impact of funding costs on option valuation
Using classical Taylor series techniques, we develop a unified approach to pricing and implied volatility for European-style options in a general local-stochastic volatility setting. Our price approximations...
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Black-Scholes articles
We consider the Delta-hedging strategy for a vanilla option under discrete hedging and transaction costs. Assuming that the option is Delta-hedged using the Black-Scholes-Merton model with an implied lognormal...
It is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options. Alexander Giese points out that an additional quanto adjustment...
An Arch economist
A foothold in reality
Quants' golden age
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.