cicyt UNIZAR

Pricing of Securities

Authors and titles for recent submissions

[ total of 6 entries: 1-6 ]
[ showing up to 25 entries per page: fewer | more ]

Wed, 14 Mar 2018

[1]  arXiv:1803.04483 (cross-list from q-fin.MF) [pdf, other]
Title: Pathwise moderate deviations for option pricing
Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR); Pricing of Securities (q-fin.PR)

Tue, 13 Mar 2018

[2]  arXiv:1803.03996 [pdf, other]
Title: Matching distributions: Recovery of implied physical densities from option prices
Authors: Jarno Talponen
Comments: JEL classification: G10, G12, G13, C14, D53, C58
Subjects: Pricing of Securities (q-fin.PR); General Finance (q-fin.GN)

Mon, 12 Mar 2018

[3]  arXiv:1803.03477 [pdf, other]
Title: Behavioural effects on XVA
Comments: 13 pages, 1 figure, 3 tables
Subjects: Pricing of Securities (q-fin.PR)
[4]  arXiv:1803.03364 [pdf, other]
Title: Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation
Comments: 45 pages, 9 figures, 3 tables, available at SSRN: this https URL
Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP); Applications (stat.AP); Computation (stat.CO)

Thu, 8 Mar 2018

[5]  arXiv:1803.02486 [pdf, other]
Title: Pricing index options by static hedging under finite liquidity
Comments: 19 pages, 12 figures
Subjects: Pricing of Securities (q-fin.PR)

Wed, 7 Mar 2018

[6]  arXiv:1803.02249 (cross-list from q-fin.MF) [pdf, other]
Title: A Term Structure Model for Dividends and Interest Rates
Subjects: Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR)
[ total of 6 entries: 1-6 ]
[ showing up to 25 entries per page: fewer | more ]

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