Option and Futures Evaluation With Deterministic Volatilities1

DOI10.1111/J.1467-9965.1993.TB00084.XzbMATH Open0884.90032OpenAlexW1986481383MaRDI QIDQ4372006FDOQ4372006

Authors: Farshid Jamshidian 

Publication date: 21 January 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00084.x

Recommendations

• scientific article; zbMATH DE number 1724292
• Two Closed-Form Formulas for the Futures Price in the Presence of a Quality Option
• Hedging quantos, differential swaps and ratios

zbMATH Keywords

multifactor settingrisk-neutral expectation formulae

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The pricing of options and corporate liabilities
• An equilibrium characterization of the term structure
• Martingales and stochastic integrals in the theory of continuous trading

Cited In (26)

• Title not available (Why is that?)
• VALUING THE FUTURES-MARKET PERFORMANCE GUARANTEE
• Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
• On the role of state variables in interest rates models
• A multi-factor jump-diffusion model for commodities†
• Two Closed-Form Formulas for the Futures Price in the Presence of a Quality Option
• Title not available (Why is that?)
• FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
• Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
• Gaussian factor models futures and forward prices
• It's your choice: a unified approach to chooser options
• Realized volatility forecasting and option pricing
• VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
• Hedging quantos, differential swaps and ratios
• Yield curve smoothing and residual variance of fixed income positions
• Evaluating volatility forecasts in option pricing in the context of a simulated options market
• Lognormality of rates and term structure models
• Crypto quanto and inverse options
• Integrated dynamic models for hedging international portfolio risks
• Valuation of commodity derivatives with an unobservable convenience yield
• Identifying the volatility of underlying assets from option prices
• Understanding dynamic mean variance asset allocation
• Title not available (Why is that?)
• A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates
• Pricing stock and bond derivatives with a multi-factor Gaussian model
• A tractable yield-curve model that guarantees positive interest rates

This page was built for publication: Option and Futures Evaluation With Deterministic Volatilities¹

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4372006)