Asian options
Vega decomposition for the LV model: an adjoint differentiation approach
Introducing an algorithm for computing vega sensitivities at all strikes and expiries
What is the volatility of an Asian option?
An adjustment for the volatility smile in Asian options is proposed
The CTMC–Heston model: calibration and exotic option pricing with SWIFT
This work presents an efficient computational framework for pricing a general class of exotic and vanilla options under a versatile stochastic volatility model.
Structured products are lost in translation post-Libor
Benchmark shift would “fundamentally transform” popular rates structures, users fear
House of the year, Taiwan: CTBC Bank
Asia Risk Awards 2019
An efficient convergent lattice method for Asian option pricing with superlinear complexity
In this paper the authors present an efficient convergent lattice method for Asian option pricing with superlinear complexity.
Stratified approximations for the pricing of options on average
The authors propose stratified approximations of option prices using the gamma and lognormal distributions, with an application to bond pricing in the Dothan model.
A new framework for assessing product complexity
A model of complexity
Palm oil producers look to lock in high prices
With crude palm oil prices rising 30% in the last six months, interest in hedging downside risk from palm oil producers is on the increase. So are producers locking in prices now or waiting for the market to rise even further?