Inhaltszusammenfassung

Many derivatives prices and their Greeks are closed-form expressions in the Black-Scholes model; when the terminal distribution is a mixed lognormal, prices and Greeks for these derivatives are then a weighted average of these (closed-form) expressions. They can therefore be calculated easily and efficiently for mixed lognormal distributions. This paper constructs mixed lognormal distributions that approximate the terminal distribution in the Merton model (Black-Scholes model with jumps) and ...Many derivatives prices and their Greeks are closed-form expressions in the Black-Scholes model; when the terminal distribution is a mixed lognormal, prices and Greeks for these derivatives are then a weighted average of these (closed-form) expressions. They can therefore be calculated easily and efficiently for mixed lognormal distributions. This paper constructs mixed lognormal distributions that approximate the terminal distribution in the Merton model (Black-Scholes model with jumps) and in stochastic volatility models. Main applications are the pricing of large portfolio positions and their risk-management.» weiterlesen» einklappen

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DFG Fachgebiet:
Wirtschaftswissenschaften

DDC Sachgruppe:
Wirtschaft