On The Effect Of Stochastic Interest Rates On The Pricing Of European Call Options
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On The Effect Of Stochastic Interest Rates On The Pricing Of European Call Options
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Author : Krister Rindell
language : en
Publisher:
Release Date : 1991
On The Effect Of Stochastic Interest Rates On The Pricing Of European Call Options written by Krister Rindell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
An Investigation Of The Impact Of Stochastic Interest Rates On The Pricing Of Equity Options
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Author : Peter Carayannopoulos
language : en
Publisher:
Release Date : 1993
An Investigation Of The Impact Of Stochastic Interest Rates On The Pricing Of Equity Options written by Peter Carayannopoulos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
An Analytical Approximation For European Option Prices Under Stochastic Interest Rate Economy
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Author : Hideharu Funahashi
language : en
Publisher:
Release Date : 2015
An Analytical Approximation For European Option Prices Under Stochastic Interest Rate Economy written by Hideharu Funahashi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This paper extends the Wiener-Ito chaos expansion approach proposed by Funahashi and Kijima (2013) to an equity-interest-rate hybrid model for the pricing of European contingent claims with special emphasis on calibration to the option markets. Our model can capture the volatility skew and smile of option markets, as well as the stochastic nature of interest rates. Further, the proposed method is applicable to widely used option pricing models such as local volatility models, stochastic volatility models, and their combinations with the stochastic nature of interest rates; hence, it is suitable for practical purposes. Through numerical examples, we show that our approximation is quite accurate even for long-maturity and/or high-volatility cases.
Pricing American Options With Stochastic Interest Rates
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Author : Kaushik I. Amin
language : en
Publisher:
Release Date : 1992
Pricing American Options With Stochastic Interest Rates written by Kaushik I. Amin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with International finance categories.
Pricing American Options With Stochastic Interest Rates
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Author : Kaushik Ishwar Amin
language : en
Publisher:
Release Date : 1992
Pricing American Options With Stochastic Interest Rates written by Kaushik Ishwar Amin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with International finance categories.
Pricing Of Long Dated Commodity Derivatives With Stochastic Volatility And Stochastic Interest Rates
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Author : Benjamin Cheng
language : en
Publisher:
Release Date : 2016
Pricing Of Long Dated Commodity Derivatives With Stochastic Volatility And Stochastic Interest Rates written by Benjamin Cheng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Aiming to study pricing of long-dated commodity derivatives, this paper presents a class of models within the Heath, Jarrow, and Morton (1992) framework for commodity futures prices that incorporates stochastic volatility and stochastic interest rate and allows a correlation structure between the futures price process, the futures volatility process and the interest rate process. The functional form of the futures price volatility is specified so that the model admits finite dimensional realisations and retains affine representations, henceforth quasi-analytical European futures option pricing formulae can be obtained. A sensitivity analysis reveals that the correlation between the interest rate process and the futures price process has noticeable impact on the prices of long-dated futures options, while the correlation between the interest rate process and the futures price volatility process does not impact option prices. Furthermore, when interest rates are negatively correlated with futures prices then option prices are more sensitive to the volatility of interest rates, an effect that is more pronounced with longer maturity options.
Currency Option Pricing With Stochastic Interest Rates And Transaction Costs
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Author : Mariusz Tamborski
language : en
Publisher:
Release Date : 1994
Currency Option Pricing With Stochastic Interest Rates And Transaction Costs written by Mariusz Tamborski and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Currency convertibility categories.
European Option Pricing When The Interest Rate Is Stochastic
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Author : Shu Ngai Yeung
language : en
Publisher:
Release Date : 1997
European Option Pricing When The Interest Rate Is Stochastic written by Shu Ngai Yeung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Interest rates categories.
Can Negative Interest Rates Really Affect Option Pricing Empirical Evidence From An Explicitly Solvable Stochastic Volatility Model
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Author : Maria Cristina Recchioni
language : en
Publisher:
Release Date : 2016
Can Negative Interest Rates Really Affect Option Pricing Empirical Evidence From An Explicitly Solvable Stochastic Volatility Model written by Maria Cristina Recchioni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
The profound financial crisis generated by the collapse of Lehman Brothers and the European sovereign debt crisis in 2011 have caused negative values of government bond yields both in the U.S.A. and in the EURO area. This paper investigates whether the use of models which allow for negative interest rate can improve option pricing and implied volatility forecasting. This is done with special attention to Foreign eXchange and index options. To this end, we carried out an empirical analysis of the prices of call and put options on the U.S. S&P 500 index as well as on the Eurodollar futures using a generalization of the Heston model in the stochastic interest rate framework. Specifically, the dynamics of the option's underlying asset is described by two factors: a stochastic variance and a stochastic interest rate. The volatility is not allowed to be negative while the interest rate is. Explicit formulas for the transition probability density function and moments are derived. These formulas are used to efficiently estimate the model parameters. Three empirical analyses are illustrated. The first two show that the use of models which allow for negative interest rates can efficiently reproduce implied volatility and forecast option prices (i.e. S&P index and foreign exchange options). The last one studies how the U.S. three month government bond yield affects the U.S. S&P 500 index.
Pricing American Call Options With Dividend And Stochastic Interest Rates
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Author : Shu-Ing Liu
language : en
Publisher:
Release Date : 2009
Pricing American Call Options With Dividend And Stochastic Interest Rates written by Shu-Ing Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
This article presents a closed form solution for pricing American stock call options with one known dividend under the Ho-Lee stochastic interest rate assumptions. Both the closed-form pricing formula and delta hedge ratio formula for the discussed American stock call options are derived. The correlation between the underlying stock price process and the discount factor process is suitably established. Numerical analyses demonstrate that there are some crucial parameters, the correlation coefficient between the stock price process and the discount factor process, and the amount of dividend, that have an impact on the option price and the delta hedge ratio. These results provide researchers and participants with some pricing and hedging applications in the real financial market.