The Forward PDE for European Options on Stocks With Fixed Fractional Jumps

Topics:
Investment and Capital Markets
Tags:
Finance,
Investment,
Price,
Stock,
World Scientific Publishing
Source:
World Scientific Publishing

FREE Registration is required

Overview: This paper derives a partial integro differential equation (PIDE) which relates the price of a calendar spread to the prices of butterfly spreads and the functions describing the evolution of the process. These evolution functions are the forward local variance rate and a new concept called the {\it forward local default arrival rate}. The paper then specializes to the case where the only jump which can occur reduces the underlying stock price by a fixed fraction of its pre-jump value. It discusses novel strategies for calibrating to a term and strike structure of European options prices.

(Is this item miscategorized? Does it need more tags? Let us know.)

Format: PDF | Size: 234KB | Date: Jul 2004 | Pages: 15

People who downloaded this item also downloaded

Case Study Fox Chase Golf Club: Lancaster, Pennsylvania Benefits
Case Study Park Chase Apartments: A HUD Project, Oklahoma
White Paper Differentiated Pricing In Segmented Markets: Decentralized Pricing Strategies For Profitability
White Paper What Is a Bond Swap
White Paper How Organizational Self-Assessments Can Put you on the Road to Success

Top results from Investment and Capital Markets

White Paper Risk Analysis and Capital Adequacy of Hedge Funds
White Paper On the Performance of Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds
White Paper Intermediary Risk In The Indirect Holding System For Securities
White Paper Hedge Funds & Listed Options: Portfolio Management Strategies
White Paper European Asset Management Industry Set for Slower Profit Growth, According to Oliver, Wyman & Company and UBS Warburg

» View all Investment and Capital Markets listings

advertisement
advertisement
  • Click Here
  • Click Here
  • Click Here
advertisement

Returning users: Log In Here!

Already registered on BNET, TechRepublic, or ZDNet? Simply log in.

Free Membership: Sign Up Now!

Sign up for a free membership today and get instant and unlimited access to one of the largest databases of white papers, webcasts, and casestudies anywhere. Your FREE membership allows you to:

  • Download an unlimited amount of content, including classic and current white papers, case studies, webcasts and more
  • Track content on your chosen topics of interest
  • Receive targeted email alerts when your favorite content is added
  • Save content for future reading
  • Receive our member newsletter

When you register to access this directory, you become a member of BNET. In addition, you allow us to share your information with companies that produce products or services featured in the library--so that such companies may contact you with information and offers regarding their products and services. This enables us to keep the library a free service. As a directory registrant, you will receive a complimentary subscription to the BNET member newsletter, The BNET Report. You can unsubscribe from this newsletter at any time. By clicking the Sign up button, you indicate that you agree to our Terms and Conditions and have read and understand our Privacy Policy (updated).