Power‐type derivatives for rough volatility with jumps
This paper proposes a novel analytical pricing–hedging framework for volatility derivatives
which simultaneously takes into account rough volatility and volatility jumps. Directly …
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 …
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
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 …
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 …
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 …
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 …
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 …
mispricing, sovereign restructuring issues and other diffi culties. We price powered bonds …