The path integral approach to financial modeling and options pricing
V Linetsky - Computational Economics, 1997 - Springer
In this paper we review some applications of the path integral methodology of quantum
mechanics to financial modeling and options pricing. A path integral is defined as a limit of …
mechanics to financial modeling and options pricing. A path integral is defined as a limit of …
Analytical valuation of American-style Asian options
AT Hansen, PL Jørgensen - Management science, 2000 - pubsonline.informs.org
This article derives the first analytical pricing formulas for American-style Asian options of the
so-called floating strike type. Geometric as well as arithmetic averaging is considered. The …
so-called floating strike type. Geometric as well as arithmetic averaging is considered. The …
[BOOK][B] Commodity option pricing: a practitioner's guide
IJ Clark - 2014 - books.google.com
Commodity Option Pricing: A Practitioner's Guide covers commodity option pricing for
quantitative analysts, traders or structurers in banks, hedge funds and commodity trading …
quantitative analysts, traders or structurers in banks, hedge funds and commodity trading …
Analytic approximation formulae for pricing forward‐starting Asian options
CY Tsao, CC Chang, CG Lin - Journal of Futures Markets …, 2003 - Wiley Online Library
In this article we first identify a missing term in the Bouaziz, Briys, and Crouhy (1994) pricing
formula for forward‐starting Asian options and derive the correct one. First, illustrate in …
formula for forward‐starting Asian options and derive the correct one. First, illustrate in …
Swaptions and options
DM Chance - Virginia Tech Department of Finance Working Paper, 2001 - papers.ssrn.com
A swaption is a derivative contract granting the right to enter into a swap. The literature on
swaptions is sparse, and only the interest rate swaption has been examined. This paper …
swaptions is sparse, and only the interest rate swaption has been examined. This paper …
[BOOK][B] Essays on pricing commodity derivatives
S Järvinen - 2004 - aaltodoc.aalto.fi
In recent years, commodity contingent claims have become increasingly popular and
important hedging instruments in the financial markets characterized by varying degree of …
important hedging instruments in the financial markets characterized by varying degree of …
Pricing European commodity swaptions
S Järvinen*, H Toivonen - Applied Economics Letters, 2004 - Taylor & Francis
In this paper, formulas for commodity swaptions are presented. By utilizing the forward price
based approach a simple closed form solution for European swaptions is derived based on …
based approach a simple closed form solution for European swaptions is derived based on …
Управление ценовыми рисками на сырьевые товары (commodities) для нефинансовых корпораций (Часть 2)
АВ Лукашов - Управление финансовыми рисками, 2006 - elibrary.ru
В первой части статьи рассматривались способы управления ценовыми рисками с
помощью форвардных и фьючерсных контрактов. Вторая часть посвящена сырьевым …
помощью форвардных и фьючерсных контрактов. Вторая часть посвящена сырьевым …
亞式利率交換契約之評價: 利用 LIBOR Market Models
YC Hung - 2006 - ir.lib.ncu.edu.tw
中大機構典藏-NCU Institutional Repository-博碩士論文91428002 詳細資訊 博碩士論文
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