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Controlled options: derivatives with added flexibility
Controlled options derivatives added flexibility
2011/1/4
The paper introduces a modification of the passport options such that the holder selects select dynamically a weight function that control the distribution of the payments (benefits) for option holder...
A Cautious Note on the Design of Volatility Derivatives
3/2 volatility model variance swap num´ eraire portfolio
2010/10/21
This cautious note aims to point at the potential risks for the financial system caused by various increasingly popular volatility derivatives including variance swaps on futures of equity indices. It...
Information Asymmetry in Pricing of Credit Derivatives
Information Asymmetry Pricing Credit Derivatives
2010/10/18
We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the...