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Performance‐dependent options are financial derivatives whose payoff depends on the performance of one asset in comparison to a set of benchmark assets. This paper presents a novel approach to the valuation of general performance‐dependent options. To this end, a multidimensional Black–Scholes...
The paper reports on a study of the feedback effects induced by portfolio optimizers on the underlying asset prices. Through their interaction with reference traders, who trade based on some aggregate incomes process, they are assumed to move asset prices away from the standard log‐normal model....
A seasonal affine jump diffusion spike model with regime switching in the long‐run equilibrium level is applied to model spot and forward prices in the Scandinavian power market. The spike part of the model incorporates different coefficients of mean reversion in the spike and normal variables...
We study the pricing of defaultable derivatives, such as bonds, bond options, and credit default swaps in the reduced form framework of intensity‐based models. We use regular and singular perturbation expansions on the intensity of default from which we derive approximations for the pricing...
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