Introducing an algorithm for computing vega sensitivities at all strikes and expiries
An adjustment for the volatility smile in Asian options is proposed
This work presents an efficient computational framework for pricing a general class of exotic and vanilla options under a versatile stochastic volatility model.
Benchmark shift would “fundamentally transform” popular rates structures, users fear
Asia Risk Awards 2019
In this paper the authors present an efficient convergent lattice method for Asian option pricing with superlinear complexity.
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 model of complexity
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?