Technical papers/Equity Derivatives
Universal Barriers
As our survey in this issue shows, there is an increasing volume of barrier products traded in the forex options market. Here, Alexander Lipton and William McGhee discuss the pricing of barriers under...
Eigenfunction expansions can also be applied to finance. The method is particularly suited to barrier and Asian options, with convergence properties that compare favourably with Monte Carlo....
Does the global presence of large multinational companies diminish the diversification effect in equity portfolios? Gary Robinson argues that this is indeed the case, and suggests a remedy
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More Technical papers/Equity Derivatives articles
Himalaya options
Nothing epitomises the challenges of complex equity derivatives better than the so-called ‘mountain range’ products. In the second article looking at the challenges of this market, Marcus Overhaus analyses a particular product, the Himalayan option,...
New products, new risks
Structured equity products marketed in Europe present considerable risk management challenges. The author shows the danger of using naive model-based approaches to price and hedge them.
The vol smile problem
The author examines a wide range of volatility smile models in the context of the liquidity of the forex options markets
A discrete question
How should discrete dividend options be modelled in an equity option pricing framework? As Volf Frishling warns, unthinking use of certain models to solve this problem can lead tosignificant mispricing in some situations
Using market and credit risk analytics to strengthen performance
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