How much is the gap?—Efficient jump risk-adjusted valuation of leveraged certificates

DOI10.1080/14697688.2016.1276299zbMath1402.91898OpenAlexW3124176006MaRDI QIDQ4555149

Ally Quan Zhang, Matthias Thul

Publication date: 19 November 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2016.1276299

zbMATH Keywords

risk managementbarrier optionsleveraged certificatesovernight gap

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• The pricing of dual-expiry exotics
• A VALUATION FORMULA FOR MULTI-ASSET, MULTI-PERIOD BINARIES IN A BLACK–SCHOLES ECONOMY

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