Search
Now showing items 1-7 of 7
A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices
(Taylor & Francis Online, 2015)
This article examines the martingale difference hypothesis (MDH) and the random walk hypothesis (RWH) for nine conventional and nine Islamic stock indices: Asia-Pacific, Canadian, Developed Country, Emerging, European, ...
Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries
(Elsevier, 2011)
This paper examines the random walk hypothesis (RWH) and the martingale difference hypothesis (MDH) for the Australian dollar and five Asian emerging currencies relative to three benchmark currencies. We use Wright’s (2000) ...
A robust method to retrieve option implied risk neutral densities for defaultable assets
(Inderscience Publishers, 2016)
Risk neutral densities recovered from option prices can be used to infer market participants' expectations of future stock returns and are a vital tool for pricing illiquid exotic options. Although there is a broad literature ...
Joshi’s Split Tree for Option Pricing
(MDPI, 2020)
In a thorough study of binomial trees, Joshi introduced the split tree as a two-phase binomial tree designed to minimize oscillations, and demonstrated empirically its outstanding performance when applied to pricing American ...
Path Independence of Exotic Options and Convergence of Binomial Approximations
(Infopro Digital Risk (IP), 2019)
The analysis of the convergence of tree methods for pricing barrier and lookback options has been the subject of numerous publications aiming at describing, quantifying, and improving the slow and oscillatory convergence ...
Exercisability Randomization of the American Option
(Taylor & Frances Online, 2008)
The valuation of American options is an optimal stopping time problem which typically leads to a free boundary problem. We introduce here the randomization of the exercisability of the option. This method considerably ...
Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees?
(Springer, 2015)
Considering European call options, we prove that CRR-type binomial trees systematically underprice the value of these options, when the spot price is not near the money. However, we show that, with a volatility premium to ...