Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
In this paper, we consider a large class of continuous semi-martingale models and propose a generic framework for their simultaneous calibration to vanilla and no-touch options. The method builds on ...
A new entrant into the over-the-counter (OTC) markets is the return barrier option. For these contracts, a large (daily) return event triggers a knockout, so they have a unique and direct exposure to ...
Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
Somer G. Anderson is CPA, doctor of accounting, and an accounting and finance professor who has been working in the accounting and finance industries for more than 20 years. Her expertise covers a ...
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