Workshop: Advanced Modeling in Finance and Insurance
Time: Thu, September 25, 2008, 09:30-10:20
Speaker: Ernst Eberlein
Abstract
We deal with the valuation problem for exotic derivatives, especially in Lévy driven models. On the one hand, we analyze conditions under which valuation formulae based on Fourier transforms hold in a general framework; i.e. considering arbitrary payoff functions and functionals of the path of the asset price process. An interesting interplay between the properties of the payoff function and the process arises.
We also extend these results to the multi-dimensional case, and discuss the calculation of Greeks. On the other hand, we derive the analytically extended characteristic function of the supremum and the infimum of a Lévy process. Putting the different pieces together, we can price lookback and one-touch options in Lévy driven models, as well as options on the minimum and maximum of several assets.
Presentation slides (pdf, 325 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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