Power‐type derivatives for rough volatility with jumps

L Wang, W Xia - Journal of Futures Markets, 2022 - Wiley Online Library
This paper proposes a novel analytical pricing–hedging framework for volatility derivatives
which simultaneously takes into account rough volatility and volatility jumps. Directly …

Crypto Inverse-Power Options and Fractional Stochastic Volatility

B Li, W Xia - arXiv preprint arXiv:2403.16006, 2024 - arxiv.org
Recent empirical evidence has highlighted the crucial role of jumps in both price and
volatility within the cryptocurrency market. In this paper, we introduce an analytical model …

[HTML][HTML] Pricing and hedging bond power exchange options in a stochastic string term-structure model

LP Blenman, A Bueno-Guerrero, SP Clark - Risks, 2022 - mdpi.com
We study power exchange options written on zero-coupon bonds under a stochastic string
term-structure framework. Closed-form expressions for pricing and hedging bond power …

Determinants analysis of grain price under financialization

F Yaojun - Macroeconomics and Finance in Emerging Market …, 2023 - Taylor & Francis
In this paper, we theoretically discussed the relationship between financial liquidity,
speculation and grain price for the first time. Then we employ the structural vector auto …

Bond power exchange options

LP Blenman - Available at SSRN 3839900, 2021 - papers.ssrn.com
We study power exchange options written on zero-coupon bonds under a stochastic string
frame-work. We obtain closed-form expressions for pricing and hedging bond power …

Valuation of an Option to Exchange one Powered Bond for Another

LP Blenman, A Bueno-Guerrero - Available at SSRN 3878105, 2021 - papers.ssrn.com
Bond markets are over the counter markets, plagued with illiquidity, price volatility,
mispricing, sovereign restructuring issues and other difficulties. We price powered bonds …

[PDF][PDF] Valuation of an Option to Exchange one Powered Bond for Another: Rationale, Theory and Some Applications

LP Blenman, A Bueno-Guerrero, SP Clark - 2021 - researchgate.net
Bond markets are over the counter markets, plagued with illiquidity, price volatility,
mispricing, sovereign restructuring issues and other diffi culties. We price powered bonds …