Spread options are notoriously difficult to price without the use of Monte Carlo simulation. Some strides have been made in recent years through the application of Fourier transform methods; however, to date, these methods have only been applied to s...
This work explores a finite liquidity model to price spread options and assess the liquidity impact. We employ Kirk approximation for computing the spread option price and its delta. The latter is needed since the liquidity impact is caused by the de...
Corporate bond yields are the manifestation of the cost of financing for private firms, and if properly evaluated, they provide researchers with valuable risk information. Within this context, this work is the first study producing corporate yield sp...
In this paper, we consider the problem of pricing a spread option when the underlying assets follow a bivariate regime-switching jump diffusion model. We exploit an approximation technique which is based on the univariate Fourier transform representa...
The goal of this paper is to derive closed-form approximation formulas for the spread option value and Greeks by using double integration and investigating the exercise boundary. We have found that the straight-line approximation suggested in previou...
This work investigates and compares the total risk attributable to holding and operating companies, using data from the United States. By proxying overall risk by the option-adjusted spread on corporate bonds, we hypothesize that operating companies...
This paper aims to analyze the impact of implied volatility on the costs, break-even points (BEPs), and the final results of the vertical spread option strategies (vertical spreads). We considered two main groups of vertical spreads: with limited and...
The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period. To this purpose, after observi...
Most of the models leading to an analytical expression for option prices are based on the assumption that underlying asset returns evolve according to a Brownian motion with drift. For some asset classes like commodities, a Brownian model does not fi...
In this paper, we study collisions of two telegraph particles on a line that are described by telegraph processes between collisions. We obtain an asymptotic estimation of the number of collisions under Kac’s condition for the cases where the d...
We study the shape of the Bachelier-implied volatility of a spread option on two assets following correlated local volatility models. This includes the limiting case of spread options on two correlated Black–Scholes (BS) assets. We give an anal...
Holding companies legally separate the assets and owners of a company creating a layer of liability protection. Theoretically, this feature lowers the risk attributable to holding companies, enabling them to offer lower-cost debts compared to stand-a...
This paper investigates the relationship between option trading behavior and option pricing patterns. We argue that greater active trading in the options market due to investor overconfidence leads to higher volatility and larger discrepancies in opt...
This paper empirically evaluates the impact of ownership structure on the cost of credit in US banks. It does so by comparing their grouped option-adjusted credit spreads on the outstanding debt issues. As the overall risk of the creditors is reflect...
In this third and final paper of our series on the topic of portfolio optimization, we introduce a further generalized portfolio selection method called generalized entropic portfolio optimization (GEPO). GEPO extends discrete entropic portfolio opti...
This paper reveals a simple methodology to create local-correlation models suitable for the closed-form pricing of two-asset financial derivatives. The multivariate models are built to ensure two conditions. First, marginals follow desirable processe...
The informed options trading hypothesis posits that option prices lead stock prices. In this paper, we extended the research on this hypothesis to open-market share repurchases. Empirical tests showed that the implied volatility spread was not signif...
The current ventilation designs of poultry barns have been present deficiencies with respect to the capacity to protect against disease exposure, especially during epidemic events. An evolution of ventilation options is needed in the egg industry to...
The popular Wishart (WI) processes, first introduced by Bru in 1991, exhibit convenient analytical properties for modeling asset prices, particularly a closed-form characteristic function, and the ability to jointly model stochastic volatility and co...
This work documents the existence of a cointegration relationship between credit spreads, leverage and equity volatility for a large set of US companies. It is shown that accounting for the long-run equilibrium dynamic between these variables is esse...
Communicable diseases pose a significant threat for passenger vessels, as norovirus, influenza, food, waterborne diseases, and lately COVID-19 have caused several public health events. To manage the risks deriving from communicable diseases, this wor...
Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carl...
This paper enhances the calibration procedure for pricing spread options with liquidity risk. The novelty is the use of Chebyshev interpolation to fit the prices.Numerical experiments reveal that the calibrated parameters are close to the ones obtain...
This study analyzes the term structures of sovereign quanto credit default swap (CDS) spreads and currency options, which are driven by anticipated currency depreciation risk following sovereign credit default (Twin Ds). We develop consistent pricing...
In this paper, we extend the SABO technique (Semi-Analytical method for Barrier Options), based on collocation Boundary Element Method (BEM), to the pricing of Barrier Options with payoff dependent on more than one asset. The efficiency and accuracy...
An exact projective compactification is established and implemented for quoted-band superhedging of activated Bitcoin calls with payoff
Foot-and-mouth disease (FMD) is a highly contagious disease of livestock caused by the FMD virus (FMDV). It is not dangerous to humans but can cause severe disruption to the farming sector and hampers trade in animals and animal products. Given the c...
In this paper, I study trading activities prior to M&A announcements pertaining to the rivals of the merging firms. I find that not only acquirers and targets experience increases in abnormal trading activities in stock and option markets, but al...
We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options) are quoted w...
This paper studies the portfolio selection problem where tradable assets are a bank account, and standard put and call options are written on the S&P 500 index in incomplete markets in which there exist bid–ask spreads and finite liquidity....
This paper aimed to investigate the drivers of sovereign credit risk spreads changes in the case of four Gulf Cooperation Council (GCC) countries, namely Kingdom of Saudi Arabia (KSA), the United Arab Emirates (UAE), Qatar, and Bahrain. Specifically,...
Transitioning to a plant-based diet presents a number of complex ethical, environmental, and health-related considerations. This trend is not only reshaping consumer diets, but also steering the food industry towards the development of new plant-base...
The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from...
Sagittaria platyphylla Engelm. (Alismataceae) is a freshwater aquatic macrophyte that has become an important invasive weed in freshwater systems in South Africa, New Zealand, Australia, and recently China. In South Africa, due to its rapid increase...
We study power exchange options written on zero-coupon bonds under a stochastic string term-structure framework. Closed-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding expr...
Breast cancer is among the most frequent malignancies in women worldwide. While early detection and effective treatment provide many women with a cure and prevent their cancer from spreading, metastases to distant sites still occur in around 20% of w...
Current methods of predicting fire spread in Canadian forests are suited to large wildfires that spread through natural forests. Recently, the use of mechanical and thinning treatments of forests in the wildland-urban interface of Canada has increase...
Invasive, exotic insects and diseases have a devastating effect on North American forests. The rate of spread, or range expansion, is one of the main determinants of an invasive organism’s impact, and can play a major role in structuring management r...
Worldwide, hospital-acquired infections (HAIs) are continuously rising within healthcare settings, leading to high mortality and morbidity rates. Many hospitals have reported the spread of carbapenemases globally, specifically within the E. coli and...
COVID-19 has rapidly spread worldwide and incidences of hospitalisation from respiratory distress are significant. While a vaccine is in the pipeline, there is urgency for therapeutic options to address the immune dysregulation, hyperinflammation and...
Beyond the 2007–2008 financial crisis, the collapse of the Silicon Valley Bank and the acquisition of Credit Suisse by the Swiss investment bank UBS Group AG in 2023 have brought fresh attention to the need for new regulatory capital, liquidity...
28 August 2022
The COVID-19 pandemic caused by SARS-CoV-2 remains a significant issue for global health, the economy, and society. When SARS-CoV-2 began to spread, the most recent serious infectious disease of this century around the world, with its high morbidity...
For the past two decades, while the efficacy of Integrated Pest Management (IPM) has been successfully demonstrated in Cambodia, its dissemination and sustained adoption among farmers have not met similar success. This study moves away from simplisti...
LoRa mesh networks enable long-range, low-power connectivity but are constrained by very low bitrate, spreading-factor-specific SNR thresholds, and regional duty-cycle limits. This article presents a snapshot routing framework that separates feasibil...
The Korean emissions trading scheme (ETS) has one special characteristic that makes it different from other schemes, such as the EU ETS. While the other schemes consider only direct emissions from fossil fuels, the Korean ETS also regulates indirect...
Operating in energy and commodity markets require a management of risk using derivative products such as forward and futures, as well as options on these. Many of the popular stochastic models for spot dynamics and weather variables developed from em...
Breast cancer is the most frequently diagnosed neoplasm all over the world and the second leading cause of cancer death in women. Breast cancer prognosis has significantly improved in the last years due to the advent of novel therapeutic options, bot...
Gram-negative bacteria were reported as a significant cause of infections in both community and nosocomial settings. Considered as one of the greatest threats to public health, the spread of bacteria drug resistance and the lack of effective alternat...
Cryoablation is a promising, cost-effective option to de-escalate surgical breast cancer morbidity, but presently is only suggested for breast cancers < 1.5 cm, in select candidates. Breast cancer cryoablation is not a reliably covered procedure b...
This contribution is based on the Chinese concept called Moulüe. A unique feature of Moulüe, without parallel in Western praxis-oriented schools of thinking, is its Yin-Yang dimension. The two hemispheres of the Yin-Yang symbol, a white one...
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