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http://hdl.handle.net/10071/12165
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Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Nunes, J. P. V. | - |
dc.contributor.author | Alcaria, T. R. V. | - |
dc.date.accessioned | 2016-12-06T15:11:56Z | - |
dc.date.available | 2016-12-06T15:11:56Z | - |
dc.date.issued | 2016 | - |
dc.identifier.issn | 1469-7688 | - |
dc.identifier.uri | http://hdl.handle.net/10071/12165 | - |
dc.description.abstract | 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. | eng |
dc.language.iso | eng | - |
dc.publisher | Routledge/Taylor and Francis | - |
dc.relation | info:eu-repo/grantAgreement/FCT/5876/147442/PT | - |
dc.relation | info:eu-repo/grantAgreement/FCT/3599-PPCDT/99255/PT | - |
dc.rights | embargoedAccess | por |
dc.subject | Forward start options | eng |
dc.subject | Stochastic volatility and interest rates | eng |
dc.subject | Jump-diffusion processes | eng |
dc.subject | Discrete Fourier transform | eng |
dc.subject | Gaussian quadratures | eng |
dc.subject | COS approximation | eng |
dc.title | Valuation of forward start options under affine jump-diffusion models | eng |
dc.type | article | - |
dc.event.date | 2019 | - |
dc.pagination | 727 - 747 | - |
dc.publicationstatus | Publicado | por |
dc.peerreviewed | yes | - |
dc.journal | Quantitative Finance | - |
dc.distribution | Internacional | por |
dc.volume | 16 | - |
dc.number | 5 | - |
degois.publication.firstPage | 727 | - |
degois.publication.lastPage | 747 | - |
degois.publication.issue | 5 | - |
degois.publication.title | Valuation of forward start options under affine jump-diffusion models | eng |
dc.date.updated | 2019-04-09T11:57:17Z | - |
dc.description.version | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.doi | 10.1080/14697688.2015.1049200 | - |
dc.subject.fos | Domínio/Área Científica::Ciências Naturais::Matemáticas | por |
dc.subject.fos | Domínio/Área Científica::Ciências Sociais::Economia e Gestão | por |
dc.subject.fos | Domínio/Área Científica::Ciências Sociais::Sociologia | por |
iscte.identifier.ciencia | https://ciencia.iscte-iul.pt/id/ci-pub-26344 | - |
iscte.alternateIdentifiers.wos | WOS:000373839800001 | - |
iscte.alternateIdentifiers.scopus | 2-s2.0-84938630809 | - |
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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