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David Lee deposited Reverse Convertible Pricing Model in the group
Business Management on Humanities Commons 2 years, 4 months agoThe payoff of reverse convertible product involves returns on multiple assets and is conditional on hitting of continuous barriers. The Monte Carlo methodology employed by ESP is an efficient conditioning technique.
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The payoff of reverse convertible product involves returns on multiple assets and is conditional on hitting of continuous barriers. The Monte Carlo methodology employed by ESP is an efficient conditioning technique.
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David Lee deposited Conduit Fees Introduction in the group
Scholarly Communication on Humanities Commons 2 years, 4 months agoAccounting requires the ability to forecast conduit administration fees. a simple stationary lognormal model for the fees is presented. Initially, the stationarity of the sweep fees is tested by measuring the level of mean reversion. Using a Dickey-Fuller statistical test the conduits are checked for approximate stationarity. Next, assuming the…[Read more]
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David Lee deposited Conduit Fees Introduction in the group
Public Humanities on Humanities Commons 2 years, 4 months agoAccounting requires the ability to forecast conduit administration fees. a simple stationary lognormal model for the fees is presented. Initially, the stationarity of the sweep fees is tested by measuring the level of mean reversion. Using a Dickey-Fuller statistical test the conduits are checked for approximate stationarity. Next, assuming the…[Read more]
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David Lee deposited Conduit Fees Introduction in the group
Business Management on Humanities Commons 2 years, 4 months agoAccounting requires the ability to forecast conduit administration fees. a simple stationary lognormal model for the fees is presented. Initially, the stationarity of the sweep fees is tested by measuring the level of mean reversion. Using a Dickey-Fuller statistical test the conduits are checked for approximate stationarity. Next, assuming the…[Read more]
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Accounting requires the ability to forecast conduit administration fees. a simple stationary lognormal model for the fees is presented. Initially, the stationarity of the sweep fees is tested by measuring the level of mean reversion. Using a Dickey-Fuller statistical test the conduits are checked for approximate stationarity. Next, assuming the…[Read more]
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David Lee deposited Digital Barrier Basket Note Valuation in the group
Scholarly Communication on Humanities Commons 2 years, 4 months agoThe article presents a model for pricing digital-type barrier options on baskets of equity stocks. Within each payment period, there is a series of basket observation times. If at each observation time we observe that all basket constituent stocks remain between their lower and upper barriers, we receive a fixed coupon amount on the payment date…[Read more]
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David Lee deposited Digital Barrier Basket Note Valuation in the group
Public Humanities on Humanities Commons 2 years, 4 months agoThe article presents a model for pricing digital-type barrier options on baskets of equity stocks. Within each payment period, there is a series of basket observation times. If at each observation time we observe that all basket constituent stocks remain between their lower and upper barriers, we receive a fixed coupon amount on the payment date…[Read more]
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David Lee deposited Digital Barrier Basket Note Valuation in the group
Business Management on Humanities Commons 2 years, 4 months agoThe article presents a model for pricing digital-type barrier options on baskets of equity stocks. Within each payment period, there is a series of basket observation times. If at each observation time we observe that all basket constituent stocks remain between their lower and upper barriers, we receive a fixed coupon amount on the payment date…[Read more]
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David Lee deposited Digital Barrier Basket Note Valuation on Humanities Commons 2 years, 4 months ago
The article presents a model for pricing digital-type barrier options on baskets of equity stocks. Within each payment period, there is a series of basket observation times. If at each observation time we observe that all basket constituent stocks remain between their lower and upper barriers, we receive a fixed coupon amount on the payment date…[Read more]
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David Lee deposited Pricing Asian Option on a Basket of Averages in the group
Scholarly Communication on Humanities Commons 2 years, 4 months agoWe present a model for pricing an exotic swap where one party receives a fixed amount and makes a series of variable payments at the end of each pre-defined calculation period. The variable payments can be modeled as Asian put option payoffs on the weighted sum of two respective commodity basket levels. Furthermore, each basket level consists of a…[Read more]
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David Lee deposited Pricing Asian Option on a Basket of Averages in the group
Public Humanities on Humanities Commons 2 years, 4 months agoWe present a model for pricing an exotic swap where one party receives a fixed amount and makes a series of variable payments at the end of each pre-defined calculation period. The variable payments can be modeled as Asian put option payoffs on the weighted sum of two respective commodity basket levels. Furthermore, each basket level consists of a…[Read more]
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David Lee deposited Pricing Asian Option on a Basket of Averages in the group
Business Management on Humanities Commons 2 years, 4 months agoWe present a model for pricing an exotic swap where one party receives a fixed amount and makes a series of variable payments at the end of each pre-defined calculation period. The variable payments can be modeled as Asian put option payoffs on the weighted sum of two respective commodity basket levels. Furthermore, each basket level consists of a…[Read more]
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David Lee deposited Pricing Asian Option on a Basket of Averages on Humanities Commons 2 years, 5 months ago
We present a model for pricing an exotic swap where one party receives a fixed amount and makes a series of variable payments at the end of each pre-defined calculation period. The variable payments can be modeled as Asian put option payoffs on the weighted sum of two respective commodity basket levels. Furthermore, each basket level consists of a…[Read more]
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David Lee deposited Equity Asian Swap Model in the group
Scholarly Communication on Humanities Commons 2 years, 5 months agoA model is present for pricing an Equity Asian Swap. One leg of the swap pays the return from a monthly average of the S&P TSE60 index less a constant strike. The payment from the other leg is similarly defined for a stock. The payments are tied to notional amounts that are specified according to two pre-determined monthly schedules. Most of the…[Read more]
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David Lee deposited Equity Asian Swap Model in the group
Public Humanities on Humanities Commons 2 years, 5 months agoA model is present for pricing an Equity Asian Swap. One leg of the swap pays the return from a monthly average of the S&P TSE60 index less a constant strike. The payment from the other leg is similarly defined for a stock. The payments are tied to notional amounts that are specified according to two pre-determined monthly schedules. Most of the…[Read more]
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David Lee deposited Equity Asian Swap Model in the group
Business Management on Humanities Commons 2 years, 5 months agoA model is present for pricing an Equity Asian Swap. One leg of the swap pays the return from a monthly average of the S&P TSE60 index less a constant strike. The payment from the other leg is similarly defined for a stock. The payments are tied to notional amounts that are specified according to two pre-determined monthly schedules. Most of the…[Read more]
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A model is present for pricing an Equity Asian Swap. One leg of the swap pays the return from a monthly average of the S&P TSE60 index less a constant strike. The payment from the other leg is similarly defined for a stock. The payments are tied to notional amounts that are specified according to two pre-determined monthly schedules. Most of the…[Read more]
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David Lee deposited Variance and Volatility Swap Model in the group
Scholarly Communication on Humanities Commons 2 years, 5 months agoA variance/volatility swap is an instrument that allows explicit exposure to the realized variance/volatility of an index, stock, etc., without exposure to other risks commonly encountered with derivatives: delta, gamma, etc.
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David Lee deposited Variance and Volatility Swap Model in the group
Public Humanities on Humanities Commons 2 years, 5 months agoA variance/volatility swap is an instrument that allows explicit exposure to the realized variance/volatility of an index, stock, etc., without exposure to other risks commonly encountered with derivatives: delta, gamma, etc.
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