Option Pricing Approach to International Reserves
نویسندگان
چکیده
منابع مشابه
INSURANCE VALUE OF INTERNATIONAL RESERVES An Option Pricing Approach
A quantitative framework is developed to bring forward the insurance motive for holding international reserves. The insurance value of reserves is quantified as the market price of an equivalent option that provides the same insurance coverage as the reserves. This quantitative framework is applied to calculating the cost of a regional insurance arrangement (e.g. an Asian Monetary Fund) and to ...
متن کاملActuarial Approach to Option Pricing
Over sixty years ago, the Swedish actuary F. Esscher suggested that the Edgeworth approximation (a refinement of the normal approximation) yields better results, if it is applied to a modification of the original distribution of aggregate claims. In this paper, this Esscher transform is defined more generally as a change of measure for a certain class of stochastic processes that model stock pr...
متن کاملA Prospect Approach to Option Pricing
It’s a well known empirical fact that actual option prices show persistent and systematic deviations from Black-Scholes option values. While a substantial number of enhancements have been proposed in the literature, these approaches typically leave investor’s preferences towards risk unmodified. Recently, empirical studies using option prices find support for non-concave utility functions propo...
متن کاملThe Direct Approach to Debt Option Pricing
We review the continuous{time literature on the so{called direct approach to bond option pricing. Going back to Ball and Torous (1983), this approach models bond price processes directly (i.e. without reference to interest rates or state variable processes) and applies methods that Black and Scholes (1973) and Merton (1973) had originally developed for stock options. We describe the principal m...
متن کاملA master equation approach to option pricing
A master equation approach to the numerical solution of option pricing models is developed. The basic idea of the approach is to consider the Black–Scholes equation as the macroscopic equation of an underlying mesoscopic stochastic option price variable. The dynamics of the latter is constructed and formulated in terms of a master equation. The numerical efficiency of the approach is demonstrat...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of International Economics
سال: 2009
ISSN: 0965-7576,1467-9396
DOI: 10.1111/j.1467-9396.2009.00849.x