scholarly journals Exchange options under clustered jump dynamics

2020 ◽  
Vol 20 (6) ◽  
pp. 949-967 ◽  
Author(s):  
Yong Ma ◽  
Dongtao Pan ◽  
Tianyang Wang
Author(s):  
Puneet Pasricha ◽  
Anubha Goel

This article derives a closed-form pricing formula for the European exchange option in a stochastic volatility framework. Firstly, with the Feynman–Kac theorem's application, we obtain a relation between the price of the European exchange option and a European vanilla call option with unit strike price under a doubly stochastic volatility model. Then, we obtain the closed-form solution for the vanilla option using the characteristic function. A key distinguishing feature of the proposed simplified approach is that it does not require a change of numeraire in contrast with the usual methods to price exchange options. Finally, through numerical experiments, the accuracy of the newly derived formula is verified by comparing with the results obtained using Monte Carlo simulations.


Author(s):  
Huahua Li ◽  
Lihan Gu

The current relevant models for the analysis of SSE options, whether for the study of theoretical algorithms or for the application of verification, are still at the beginning of the research stage. Based on this, this study combines the status quo of China’s SSE options to construct a state space model with certain flexibility and combines image processing technology to extract model features. At the same time, this study obtained the experimental data of this study through network data collection method and analyzed the performance of the algorithm by comparison method, recorded the data obtained by the model operation, and turned the result into a visually identifiable feature result through image processing. The research indicates that the state space model has certain effects in the analysis of SSE option and can provide theoretical reference for subsequent related research.


2019 ◽  
Vol 28 ◽  
pp. 265-274 ◽  
Author(s):  
Guangli Xu ◽  
Xinjian Shao ◽  
Xingchun Wang

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Edda Winter ◽  
Philipp Seipel ◽  
Tatiana Zinkevich ◽  
Sylvio Indris ◽  
Bambar Davaasuren ◽  
...  

Abstract Various nuclear magnetic resonance (NMR) methods are combined to study the structure and dynamics of Li1.5Al0.5Ti1.5(PO4)3 (LATP) samples, which were obtained from sintering at various temperatures between 650 and 900 °C. 6Li, 27Al, and 31P magic angle spinning (MAS) NMR spectra show that LATP crystallites are better defined for higher calcination temperatures. Analysis of 7Li spin-lattice relaxation and line-shape changes indicates the existence of two species of lithium ions with clearly distinguishable jump dynamics, which can be attributed to crystalline and amorphous sample regions, respectively. An increase of the sintering temperature leads to higher fractions of the fast lithium species with respect to the slow one, but hardly affects the jump dynamics in either of the phases. Specifically, the fast and slow lithium ions show jumps in the nanoseconds regime near 300 and 700 K, respectively. The activation energy of the hopping motion in the LATP crystallites amounts to ca. 0.26 eV. 7Li field-gradient diffusometry reveals that the long-range ion migration is limited by the sample regions featuring slow transport. The high spatial resolution available from the high static field gradients of our setup allows the observation of the lithium ion diffusion inside the small (<100 nm) LATP crystallites, yielding a high self-diffusion coefficient of D = 2 × 10−12 m2/s at room temperature.


Author(s):  
Peter Christoffersen ◽  
Bruno Feunou ◽  
Yoontae Jeon

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 77
Author(s):  
Donatien Hainaut

Most of the models leading to an analytical expression for option prices are based on the assumption that underlying asset returns evolve according to a Brownian motion with drift. For some asset classes like commodities, a Brownian model does not fit empirical covariance and autocorrelation structures. This failure to replicate the covariance introduces a bias in the valuation of calendar spread exchange options. As the payoff of these options depends on two asset values at different times, particular care must be taken for the modeling of covariance and autocorrelation. This article proposes a simple alternative model for asset prices with sub-exponential, exponential and hyper-exponential autocovariance structures. In the proposed approach, price processes are seen as conditional Gaussian fields indexed by the time. In general, this process is not a semi-martingale, and therefore, we cannot rely on stochastic differential calculus to evaluate options. However, option prices are still calculable by the technique of the change of numeraire. A numerical illustration confirms the important influence of the covariance structure in the valuation of calendar spread exchange options for Brent against WTI crude oil and for gold against silver.


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