Simulation methods for valuing Asian option prices in a hyperbolic asset price model

2003 ◽  
Vol 14 (1) ◽  
pp. 65-81 ◽  
Author(s):  
J. Hartinger
Keyword(s):  
Asset Price ◽  
Asian Option ◽  
Simulation Methods ◽  
Option Prices ◽  
Price Model ◽  
Asset Price Model

LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES

2002 ◽  
Vol 05 (04) ◽  
pp. 427-446 ◽  
Author(s):  
DAMIANO BRIGO ◽  
FABIO MERCURIO
Keyword(s):  
General Class ◽  
Implied Volatility ◽  
Asset Price ◽  
Market Volatility ◽  
Option Prices ◽  
Price Model ◽  
Analytical Approximations ◽  
Mixture Dynamics ◽  
Real Market ◽  
Volatility Function

We introduce a general class of analytically tractable models for the dynamics of an asset price based on the assumption that the asset-price density is given by the mixture of known basic densities. We consider the lognormal-mixture model as a fundamental example, deriving explicit dynamics, closed form formulas for option prices and analytical approximations for the implied volatility function. We then introduce the asset-price model that is obtained by shifting the previous lognormal-mixture dynamics and investigate its analytical tractability. We finally consider a specific example of calibration to real market option data.

An Asset Price Model of Aggregate Investment

1975 ◽  
Vol 16 (3) ◽  
pp. 625 ◽  
Author(s):  
Robert F. Engle ◽  
Duncan K. Foley
Keyword(s):  
Asset Price ◽  
Price Model ◽  
Asset Price Model ◽  
Aggregate Investment

Numerical treatment of an asset price model with non-stochastic uncertainty

Top ◽  
2002 ◽  
Vol 10 (1) ◽  
pp. 1-30 ◽  
Author(s):  
R. Tichatschke ◽  
A. Kaplan ◽  
T. Voetmann ◽  
M. Böhm
Keyword(s):  
Asset Price ◽  
Numerical Treatment ◽  
Price Model ◽  
Stochastic Uncertainty ◽  
Asset Price Model

CARTERAS COLECTIVAS EN COLOMBIA Y LAS HERRAMIENTAS DE MEDICIÓN PARA LA GENERACIÓN DE VALOR

2012 ◽  
Vol 3 (6) ◽  
pp. 107 ◽  
Author(s):  
Andrés Felipe Piedrahita Campo
Keyword(s):  
Asset Price ◽  
Capital Asset Price Model ◽  
Capital Asset ◽  
Price Model ◽  
Asset Price Model ◽  
Portfolio Managers ◽  
French Model

En el mercado colombiano, las carteras colectivas que invierten en acciones han obtenido en la mayoría de los casos altos retornos, sin embargo, y como se demostrara en el desarrollo de este trabajo, no siempre altos retornos significa generación de valor. Es así como se ha realizado una evaluación a la generación de valor de los administradores de portafolio (Portfolio Managers) de algunas carteras colectivas seleccionadas representativas del mercado colombiano. Para ello se utilizaron 2 modelos: el Capital Asset Price Model (CAPM) y el CAPM de tres factores (Fama – French Model). Durante la investigación se denotó que no existe tal generación de valor para los portafolios administrados de cuatro firmas reconocidas en el mercado colombiano, y no se encontró evidencia que exista la capacidad de generar alfa (α) durante el periodo de análisis (2006-2011).

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