HRUŠKA JURAJ. 2015. Delta-gamma-theta Hedging of Crude Oil Asian Options. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 63(6): 1897–1903. Since Black-Scholes formula was derived, many methods have been suggested for vanilla as well as exotic options pricing. More of investing and hedging strategies have been developed based on these pricing models. Goal of this paper i...

Corporations in the US have significantly increased their usage of callable bonds in the past 10-15 years. Whereas callable debt was issued in the past for interest rate hedging motives, the vast majority of callable bonds issued today have call options that will enver be "in the money". This feature implies that previous explanations for the issuance of callable debt no longer rationalize the ...

In this paper we propose a transform method to compute the prices and greeks of barrier options driven by a class of Lévy processes. We derive analytical expressions for the Laplace transforms in time of the prices and sensitivities of single barrier options in an exponential Lévy model with hyper-exponential jumps. Inversion of these single Laplace transform yields rapid, accurate results. The...

This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively applied in an asymptotic expansion approach. First, the paper derives an asymptotic expansion for generalized Wiener functionals. After it is appl...

A new model on European options with uncertainty of both randomness and fuzziness in output is presented, by introducing fuzzy logic to the stochastic financial model. The randomness and fuzziness in the systems are evaluated by both probabilistic expectation and fuzzy expectation, taking account of seller s/buyer s subjective judgment. Prices of European call/put options with uncertainty are g...

We give a method based on convex programming to calculate the optimal super-replicating and sub-replicating prices and corresponding hedging strategies of a financial derivative in terms of other financial derivatives. Our method finds a model that matches the superreplicating (or sub-replicating) price within an arbitrary precision and is consistent with the other financial derivatives prices....

We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset, and statically trade European call options for all possible strikes with some given maturity. This problem is classically approached by means of the Skorohod Embedding Problem (SEP). Instead, we provide a dual formulation which converts the superhedging problem...

The objective of this paper is to find out whether the put-call parity relationship holds in case index options Indian stock market. which has been chosen as underlying asset NSE Nifty. This further aims at finding different factors responsible for violation relationship, if any.