๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

The Valuation of Volatility Options

โœ Scribed by Detemple, J.; Osakwe, C.

Book ID
115501233
Publisher
Oxford University Press
Year
2000
Tongue
English
Weight
193 KB
Volume
4
Category
Article
ISSN
1572-3097

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๐Ÿ“œ SIMILAR VOLUMES

Canonical valuation of options in the pr
Canonical valuation of options in the presence of stochastic volatility
โœ Philip Gray; Scott Newman ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 187 KB ๐Ÿ‘ 2 views

Proposed by M. Stutzer (1996), canonical valuation is a new method for valuing derivative securities under the risk-neutral framework. It is nonparametric, simple to apply, and, unlike many alternative approaches, does not require any option data. Although canonical valuation has great potential, it

Accounting for stochastic interest rates
Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options
โœ Alexander Van Haastrecht; Antoon Pelsser ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 366 KB ๐Ÿ‘ 1 views

factors explicitly into account for a proper valuation and risk management of these securities. The performed analysis is facilitated by deriving closed-form formulas for the valuation of forward starting options, hereby taking the stochastic volatility, stochastic interest rates as well the depende