Related papers: Mirror Options
The vast majority of works on option pricing operate on the assumption of risk neutral valuation, and consequently focus on the expected value of option returns, and do not consider risk parameters, such as variance. We show that it is…
Spread options are a fundamental class of derivative contract written on multiple assets, and are widely used in a range of financial markets. There is a long history of approximation methods for computing such products, but as yet there is…
Intuitively speaking, a bipartite graph is mirror if it can be drawn in the Cartesian plane in such a way that, the vertices of one stable are points in x=0, the vertices of the other stable set are points in x=1, the edges are straight…
The goal of this note is to illustrate the impact of a self-financing condition recently introduced by the authors. We present the analyses of two specific applications usually considered in more traditional models in financial mathematics.…
The pricing and hedging of a general class of options (including American, Bermudan and European options) on multiple assets are studied in the context of currency markets where trading is subject to proportional transaction costs, and…
Reference prices have long been studied in applied economics and business research. One of the classic formulations of the reference price is in terms of an iterative function of past prices. There are a number of limitations of such a…
American options are financial instruments that can be exercised at any time before expiration. In this paper we study the problem of pricing this kind of derivatives within a framework in which some of the properties --volatility and…
We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional continuous time model, in which the discounted stock price process satisfies the conditional full support…
We investigate the relation between the fair price for European-style vanilla options and the distribution of short-term returns on the underlying asset ignoring transaction and other costs. We compute the risk-neutral probability density…
Perpetual American options are financial instruments that can be readily exercised and do not mature. In this paper we study in detail the problem of pricing this kind of derivatives, for the most popular flavour, within a framework in…
The aim of this paper is to investigate the use of close formula approximation for pricing European mortgage options. Under the assumption of logistic duration and normal mortgage rates the underlying price at the option expiry is…
We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determination time is not fixed ex-ante, but allowed to be random,…
This paper considers options pricing when the assumption of normality is replaced with that of the symmetry of the underlying distribution. Such a market affords many equivalent martingale measures (EMM). However we argue (as in the…
We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this approach and illustrate it with two specific examples. The…
We introduce an all-optical system, termed the "lying mirror", to hide input information by transforming it into misleading, ordinary-looking patterns that effectively camouflage the underlying image data and deceive the observers. This…
This paper is devoted to the variational inequality problems. We consider two classes of problems, the first is classical constrained variational inequality and the second is the same problem with functional (inequality type) constraints.…
Using spherical mirrors in place of wide-angle cameras allows for cost-effective monitoring of manufacturing processes in hazardous environment, where a camera would normally not operate. This includes environments of high heat, vacuum and…
American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomised) stopping time. The introduction of…
We propose a control-theoretic interpretation of recommender systems and use this perspective to analyze how fairness interventions shape long-term system behavior. Fairness concerns arise for both users and creators, ranging from opinion…
The mirror extensions for vertex operator algebras are studied. Two explicit examples which are not simple current extensions of some affine vertex operator algebras of type $A$ are given.