Complex barrier options
THF Cheuk, T Vorst - J. OF DERIVATIVES, Fall, 1996 - papers.ssrn.com
This article develops a new trinomial tree model for barrier options. It is well-known that for
barrier options, the positions of nodes in the tree with respect to the barrier value are critical. …
barrier options, the positions of nodes in the tree with respect to the barrier value are critical. …
Currency lookback options and observation frequency: a binomial approach
THF Cheuk, TCF Vorst - Journal of International Money and Finance, 1997 - Elsevier
In the last decade, interest in exotic options has been growing, especially in the over-the-counter
currency market. In this paper we consider lookback currency options, which are path-…
currency market. In this paper we consider lookback currency options, which are path-…
Alternative neural network approach for option pricing and hedging
AP Carverhill, THF Cheuk - Available at SSRN 480562, 2003 - papers.ssrn.com
Since its introduction in 1973, the Black-Scholes model has found increasingly more resistance
in application. In order to use Black-Scholes to price any option, one needs to know the …
in application. In order to use Black-Scholes to price any option, one needs to know the …
Shout floors
THF Cheuk, T Vorst - Available at SSRN 7633, 1996 - papers.ssrn.com
It is common to find index funds being marketed with a protective floor. It gives investors the
upside potential of the equity market, while protecting them from possible losses. In this paper…
upside potential of the equity market, while protecting them from possible losses. In this paper…
The smirk in the S&P500 futures options prices: a linearized factor analysis
A Carverhill, THF Cheuk, S Dyrting - Review of Derivatives Research, 2009 - Springer
In the S&P500 futures options, we identify three factors, corresponding to movements in the
underlying, parallel movements, and tilting of the cross section of implied volatilities (the “…
underlying, parallel movements, and tilting of the cross section of implied volatilities (the “…
Average interest rate caps
THF Cheuk, TCF Vorst - Computational Economics, 1999 - Springer
There exist a number of approximation methods for the price of average rate options, when
the underlying asset is a currency or equity. Realistic pricing models for average interest rate …
the underlying asset is a currency or equity. Realistic pricing models for average interest rate …
The Price of the Smirk: Returns to Delta and Vega Neutral Portfolios of S&P 500 Futures Options
AP Carverhill, THF Cheuk, S Dyrting - Available at SSRN 298182, 2001 - papers.ssrn.com
We construct portfolios of S&P500 futures and their associated options, which are long out
of (in) the money puts and short out of (in) the money calls, and which are delta (price) and …
of (in) the money puts and short out of (in) the money calls, and which are delta (price) and …
The Smirk in the S&P500 Futures Options Prices: A Linearized Factor Analysis
THF Cheuk, S Dyrting, AP Carverhill - Available at SSRN 1342925, 2009 - papers.ssrn.com
In the S&P500 futures options, we identify 3 factors, corresponding to movements in the
underlying, parallel movements, and tilting of the cross section of implied volatilities (the" smirk …
underlying, parallel movements, and tilting of the cross section of implied volatilities (the" smirk …
[CITATION][C] Lookback options and the observation frequency: A binomial approach
THF Cheuk, ACF Vorst - 1995 - Tinbergen Institute
[CITATION][C] Binominal Models for Some Path-Dependent Options
THF Cheuk, TCF Vorst - Erasmus University of Rotterdam-Econometric Institute …, 1994