Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/12165
Autoria: | Nunes, J. P. V. Alcaria, T. R. V. |
Data: | 2016 |
Título próprio: | Valuation of forward start options under affine jump-diffusion models |
Volume: | 16 |
Número: | 5 |
Paginação: | 727 - 747 |
ISSN: | 1469-7688 |
DOI (Digital Object Identifier): | 10.1080/14697688.2015.1049200 |
Palavras-chave: | Forward start options Stochastic volatility and interest rates Jump-diffusion processes Discrete Fourier transform Gaussian quadratures COS approximation |
Resumo: | Under the general affine jump-diffusion framework of Duffie et al. [Econometrica, 2000, 68, 1343–1376], this paper proposes an alternative pricing methodology for European-style forward start options that does not require any parallel optimization routine to ensure square integrability. Therefore, the proposed methodology is shown to possess a better accuracy–efficiency trade-off than the usual and more general approach initiated by Hong [Forward Smile and Derivative Pricing. Working paper, UBS, 2004] that is based on the knowledge of the forward characteristic function. Explicit pricing solutions are also offered under the nested jump-diffusion setting proposed by Bakshi et al. [J. Finance, 1997, 52, 2003–2049], which accommodates stochastic volatility and stochastic interest rates, and different integration schemes are numerically tested. |
Arbitragem científica: | yes |
Acesso: | Acesso Embargado |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Valuation of forward.pdf Restricted Access | Versão Editora | 1,57 MB | Adobe PDF | Ver/Abrir Request a copy |
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