1 - 4 of 4 articles
Abstract Constant price impact functions, much used in financial literature, are shown to give rise to paradoxical outcomes as they do not allow for proper predictability removal: for instance, the exploitation of a single large trade whose size and time of execution are known in advance to some...
Abstract Constant Proportion Portfolio Insurance (CPPI) is an investment strategy designed to give participation in the performance of a risky asset while protecting the invested capital. This protection is, however, not perfect and the gap risk must be quantified. CPPI strategies are path...
Abstract The logarithm of the S&P 500 Index is modelled as a Sato process running at a speed proportional to the current level of the VIX. When the VIX is itself modelled as the exponential of a compound Poisson process with drift, we show that exact expressions are available for the prices of...
Abstract This article extends the exchange option model of Margrabe, where the distributions of both stock prices are log-normal with correlated Wiener components, to allow the underlying assets to be driven by jump-diffusion processes of the type originally introduced by Merton. We introduce...
Read and print from thousands of top scholarly journals.
Continue with Facebook
Log in with Microsoft
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Sign Up Log In
To subscribe to email alerts, please log in first, or sign up for a DeepDyve account if you don’t already have one.
To get new article updates from a journal on your personalized homepage, please log in first, or sign up for a DeepDyve account if you don’t already have one.