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  • Detecting the fair, ie.\ no-arbitrage, price of an option is a very interesting and challenging task of quantitative finance. It results mostly from the fact that the option payoff is nonlinear and the price can be very sensitive to the changes of underlying factors (especially ATM options). This common feature is further stressed in case of options with some discontinuity in the payoff function. By contrast, options that are illiquid can be very sensitive to the asymmetry of the probability distribution of underlying factors as well as its fat tails. A popular model, how to deal with stylized facts of financial asset returns, such as skewness or kurtosis of the option underlying distribution, is a subordinated Lévy model (VG, NIG). In this paper, we apply these two models to estimate the value of several exotic options written on various FX rates.
  • Detecting the fair, ie.\ no-arbitrage, price of an option is a very interesting and challenging task of quantitative finance. It results mostly from the fact that the option payoff is nonlinear and the price can be very sensitive to the changes of underlying factors (especially ATM options). This common feature is further stressed in case of options with some discontinuity in the payoff function. By contrast, options that are illiquid can be very sensitive to the asymmetry of the probability distribution of underlying factors as well as its fat tails. A popular model, how to deal with stylized facts of financial asset returns, such as skewness or kurtosis of the option underlying distribution, is a subordinated Lévy model (VG, NIG). In this paper, we apply these two models to estimate the value of several exotic options written on various FX rates. (en)
Title
  • Some results on pricing of selected exotic options via subordinated Lévy models
  • Some results on pricing of selected exotic options via subordinated Lévy models (en)
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  • Some results on pricing of selected exotic options via subordinated Lévy models
  • Some results on pricing of selected exotic options via subordinated Lévy models (en)
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  • RIV/61989100:27510/12:86083108!RIV14-MSM-27510___
http://linked.open...avai/riv/aktivita
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  • P(ED1.1.00/02.0070), S
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  • 169235
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  • RIV/61989100:27510/12:86083108
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  • FX rate, variance gamma model, normal inverse gaussian model, option, exotic option. (en)
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  • [84CBD7D0A6B2]
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  • Ostrava
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  • Ostrava
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  • Řízení a modelování finančních rizik : sborník příspěvků z 6. mezinárodní vědecké konference : 10.-11. září 2012, Ostrava, Česká republika
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  • Tichý, Tomáš
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  • 000317528600069
http://linked.open.../riv/zahajeniAkce
number of pages
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  • Vysoká škola báňská - Technická univerzita Ostrava
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  • 978-80-248-2835-0
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  • 27510
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