-
David Lee deposited Pricing Path Dependent Derivative Note on Humanities Commons 2 years, 6 months ago
We present a model for pricing a path-dependent, equity-linked payoff. Here a bounded price return is calculated from an underlying index at certain pre-specified dates. The total return at maturity is given by the sum of the bounded price returns above, but where a specified number of the highest of these returns are set to a cap value.
-
A model is presented for pricing an American call option on stock. The option tenor is n years, and its strike price is increased every anniversary. It has also the following feature: if the stock price stays in excess of 200% of the current strike price during 10 consecutive trading days. The seller can issue a notice to the buyer that one half…[Read more]
-
David Lee deposited Two Asset Barrier Option Valuation Model in the group
Scholarly Communication on Humanities Commons 2 years, 7 months agoWe present a valuation model for pricing two asset barrier options on commodity futures. Applications to commodity futures have a number of specific. The analytical valuation formulas are also implemented. The payoff of a two asset barrier options is made against one of the assets, while the other asset is used to trigger the barrier.
-
David Lee deposited Two Asset Barrier Option Valuation Model in the group
Public Humanities on Humanities Commons 2 years, 7 months agoWe present a valuation model for pricing two asset barrier options on commodity futures. Applications to commodity futures have a number of specific. The analytical valuation formulas are also implemented. The payoff of a two asset barrier options is made against one of the assets, while the other asset is used to trigger the barrier.
-
David Lee deposited Two Asset Barrier Option Valuation Model in the group
Business Management on Humanities Commons 2 years, 7 months agoWe present a valuation model for pricing two asset barrier options on commodity futures. Applications to commodity futures have a number of specific. The analytical valuation formulas are also implemented. The payoff of a two asset barrier options is made against one of the assets, while the other asset is used to trigger the barrier.
-
David Lee deposited Two Asset Barrier Option Valuation Model on Humanities Commons 2 years, 7 months ago
We present a valuation model for pricing two asset barrier options on commodity futures. Applications to commodity futures have a number of specific. The analytical valuation formulas are also implemented. The payoff of a two asset barrier options is made against one of the assets, while the other asset is used to trigger the barrier.
-
David Lee deposited Two Asset Barrier Option in the group
Scholarly Communication on Humanities Commons 2 years, 7 months agoA two-asset barrier option is a European style option whose value is determined by two underlying assets. One asset, S1, determines the payoff function, and the other, S2, knocks the option in or out if the S2 value crosses the barrier.
-
David Lee deposited Two Asset Barrier Option in the group
Public Humanities on Humanities Commons 2 years, 7 months agoA two-asset barrier option is a European style option whose value is determined by two underlying assets. One asset, S1, determines the payoff function, and the other, S2, knocks the option in or out if the S2 value crosses the barrier.
-
David Lee deposited Two Asset Barrier Option in the group
Business Management on Humanities Commons 2 years, 7 months agoA two-asset barrier option is a European style option whose value is determined by two underlying assets. One asset, S1, determines the payoff function, and the other, S2, knocks the option in or out if the S2 value crosses the barrier.
-
A two-asset barrier option is a European style option whose value is determined by two underlying assets. One asset, S1, determines the payoff function, and the other, S2, knocks the option in or out if the S2 value crosses the barrier.
-
David Lee deposited GIC Pricing Model in the group
Scholarly Communication on Humanities Commons 2 years, 7 months agoA Market Mix GIC is a type of guaranteed investment certificate, which offers a return based on a corresponding GIC rate and the performance of a basket of certain stock and bond market indices. The payoff at maturity from a Market Mix GIC can be shown equal to the invested principal plus this principal times the sum of the minimum guaranteed…[Read more]
-
David Lee deposited GIC Pricing Model in the group
Public Humanities on Humanities Commons 2 years, 7 months agoA Market Mix GIC is a type of guaranteed investment certificate, which offers a return based on a corresponding GIC rate and the performance of a basket of certain stock and bond market indices. The payoff at maturity from a Market Mix GIC can be shown equal to the invested principal plus this principal times the sum of the minimum guaranteed…[Read more]
-
David Lee deposited GIC Pricing Model in the group
Business Management on Humanities Commons 2 years, 7 months agoA Market Mix GIC is a type of guaranteed investment certificate, which offers a return based on a corresponding GIC rate and the performance of a basket of certain stock and bond market indices. The payoff at maturity from a Market Mix GIC can be shown equal to the invested principal plus this principal times the sum of the minimum guaranteed…[Read more]
-
A Market Mix GIC is a type of guaranteed investment certificate, which offers a return based on a corresponding GIC rate and the performance of a basket of certain stock and bond market indices. The payoff at maturity from a Market Mix GIC can be shown equal to the invested principal plus this principal times the sum of the minimum guaranteed…[Read more]
-
David Lee deposited Market Mix GIC Introduction in the group
Scholarly Communication on Humanities Commons 2 years, 7 months agoThe Market Mix GIC is a type of guaranteed investment certificate, of 3- or 5-year term, which offers a return based on a corresponding GIC rate and the performance of a basket of certain stock and bond market indices. To determine the rate of return, the percentage change in each index level from the initial level is calculated. Here the initial…[Read more]
-
David Lee deposited Market Mix GIC Introduction in the group
Public Humanities on Humanities Commons 2 years, 7 months agoThe Market Mix GIC is a type of guaranteed investment certificate, of 3- or 5-year term, which offers a return based on a corresponding GIC rate and the performance of a basket of certain stock and bond market indices. To determine the rate of return, the percentage change in each index level from the initial level is calculated. Here the initial…[Read more]
-
David Lee deposited Market Mix GIC Introduction in the group
Business Management on Humanities Commons 2 years, 7 months agoThe Market Mix GIC is a type of guaranteed investment certificate, of 3- or 5-year term, which offers a return based on a corresponding GIC rate and the performance of a basket of certain stock and bond market indices. To determine the rate of return, the percentage change in each index level from the initial level is calculated. Here the initial…[Read more]
-
David Lee deposited CLO Total Return Swap in the group
Scholarly Communication on Humanities Commons 2 years, 7 months agoA pricing model was developed for pricing a total return swap between two parties. Here party A receives LIBOR plus a spread, but pays out the equity dividends arising from a collateralized loan obligation (CLO).
-
David Lee deposited CLO Total Return Swap in the group
Public Humanities on Humanities Commons 2 years, 7 months agoA pricing model was developed for pricing a total return swap between two parties. Here party A receives LIBOR plus a spread, but pays out the equity dividends arising from a collateralized loan obligation (CLO).
-
David Lee deposited CLO Total Return Swap in the group
Business Management on Humanities Commons 2 years, 7 months agoA pricing model was developed for pricing a total return swap between two parties. Here party A receives LIBOR plus a spread, but pays out the equity dividends arising from a collateralized loan obligation (CLO).
- Load More
Open access, open source, open to all
