Timer options are derivatives that expire when the underlying’s realised variance hits a certain level, adding another layer of complexity that is usually tackled with computationally costly numerical...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Option pricing articles
The asymptotic behaviour of local volatility surfaces for low and high strikes – the so-called wings – is important in option pricing and risk management. Stefano De Marco, Peter Friz and Stefan Gerhold show certain models allow for the derivation...
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 solutions for option prices do not exist and the discounted...
Welcome to Volume 16, Issue 2 of The Journal of Computational Finance. In this paper we present 4 research papers: 'Pricing options on realized variance in the Heston model with jumps in returns and volatility Part II. An approximate distribution of discrete...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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