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Essays on bivariate option pricing via copula and heteroscedasticity models: a classical and bayesian approach
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2019-02-15)
This dissertation is composed of two main and independents essays, but complementary. In the first one, we discuss the option price under a bayesian perspective. This essay aims to price and analyze the fair price behavior ...
American option pricing with machine learning: An extension of the Longstaff-Schwartz method
(Lociedade Brasileira de Finanças, 2021)
Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?
(Elsevier, 2015)
We develop a general equilibrium asset pricing model under incomplete information and rational learning in order to understand the unexplained predictability of option prices. In our model, the fundamental dividend growth ...
Term structure movements implicit in Asian option prices
(2008)
In this paper we implement dynamic term structure models that adopt bonds and Asian options in the estimation process. The goal is to analyse the pricing and hedging implications of term structure movements when options ...
Auctions with options for re-auction
(Escola de Pós-Graduação em Economia da FGV, 2003-01-23)
We examine the role of seller bidding and reserve prices in an infinitely repeated independent-private-value (IPV) ascending-price auction. The seller has a single object that she values at zero. At the end of any auction ...
Volatility timing: Pricing barrier options on DAX XETRA index
This paper analyses the impact of different volatility structures on a range of traditional option pricing models for the valuation of call down and out style barrier options. The construction of a Risk-Neutral Probability ...
Non-Parametric Pricing of Interest Rates OptionsNon-Parametric Pricing of Interest Rates Options
(Sociedade Brasileira de Econometria, 2012)