This paper examines the pricing performance of option pricing models by using intraday data on KOSPI 200 index options. We consider the Black-Scholes model, the ad hoc Black-Scholes model (ie, traders'...
Spread option pricing: importance of forex risk factors illustrated
In this white paper, Gordon Russell, Global Head of Risk at Broadridge Investment Management Solutions argues that the chances of survival in this new environment will be greater for funds that implement solutions to efficiently and cost-effectively manage data and risk.
More Option pricing articles
We consider option pricing problems in the stochastic volatility jump diffusion model with correlated and contemporaneous jumps (SVCJ) in both the return and variance processes. The option value function...
Volume 17, Issue 3, 2014
Volume 17, Issue 2, 2013
The derivatives of option prices with respect to underlying parameters are commonly referred to as Greeks, and they measure the sensitivities of option prices to these parameters. When the closed-form...
Quanto adjustments in the presence of stochastic volatility
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.