SSRN Author: Barbara TrivellatoBarbara Trivellato SSRN Content
http://www.ssrn.com/author=2040569
http://www.ssrn.com/rss/en-usSun, 19 Jul 2015 02:53:14 GMTeditor@ssrn.com (Editor)Sun, 19 Jul 2015 02:53:14 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Exact Pricing with Stochastic Volatility and JumpsA stochastic volatility jump-diffusion model for pricing derivatives with jumps in both spot returns and volatility dynamics is presented. This model admits, in the spirit of Heston, a closed-form solution for European-style options. The structure of the model is also suitable to obtain the fair delivery price of variance swaps. To evaluate derivatives whose value does not admit a closed-form expression, a methodology based on an "exact algorithm', in the sense that no discretization of equations is required, is developed and applied to barrier options. Goodness of pricing algorithm is tested using DJ Euro Stoxx 50 market data for European options. Finally, the algorithm is applied to compute prices and Greeks of barrier options.
http://www.ssrn.com/abstract=2504645
http://www.ssrn.com/1342632.htmlSat, 11 Oct 2014 10:34:48 GMTREVISION: The Effect of Stochastic Volatility and Jumps on Derivatives Pricing: An Exact Simulation ApproachA stochastic volatility jump-diffusion model for pricing derivatives with jumps in both spot returns and volatility dynamics is presented. This model admits, in the spirit of Heston, a closed-form solution for European-style options. The structure of the model is also suitable to obtain the fair delivery price of variance swaps. To evaluate derivatives whose value does not admit a closed-form expression, a methodology based on an "exact algorithm', in the sense that no discretization of equations is required, is developed and applied to barrier options. Goodness of pricing algorithm is tested using DJ Euro Stoxx 50 market data for European options. Finally, the algorithm is applied to compute prices and Greeks of barrier options.
http://www.ssrn.com/abstract=2504645
http://www.ssrn.com/1340593.htmlSat, 04 Oct 2014 08:32:05 GMT