
David Lee deposited Conditional Probability of Hitting Barrier in the group Business Management on Humanities Commons 1 month ago
A model is developed for evaluating the conditional probability of hitting an upper barrier before a lower barrier, and vice versa, for a tied down geometric Brownian motion with drift. The method produces an analytical value for this probability, assuming that the barrier levels are constant and continuously monitored.

A model is developed for evaluating the conditional probability of hitting an upper barrier before a lower barrier, and vice versa, for a tied down geometric Brownian motion with drift. The method produces an analytical value for this probability, assuming that the barrier levels are constant and continuously monitored.

David Lee deposited Calculating Risk Sensitivities for Monte Carlo Approach in the group Scholarly Communication on Humanities Commons 3 months, 2 weeks ago
This article presents a model for pricing complex CDO structures and compute the sensitivities of the risk factors. The complex CDO structures need to be priced using the market information on tranche losses at multiple points of time. Currently, the model is being used for the valuation of forward starting CDO trades (FSCDO) and losstrigger…[Read more]

David Lee deposited Calculating Risk Sensitivities for Monte Carlo Approach in the group Public Humanities on Humanities Commons 3 months, 2 weeks ago
This article presents a model for pricing complex CDO structures and compute the sensitivities of the risk factors. The complex CDO structures need to be priced using the market information on tranche losses at multiple points of time. Currently, the model is being used for the valuation of forward starting CDO trades (FSCDO) and losstrigger…[Read more]

David Lee deposited Calculating Risk Sensitivities for Monte Carlo Approach in the group Business Management on Humanities Commons 3 months, 2 weeks ago
This article presents a model for pricing complex CDO structures and compute the sensitivities of the risk factors. The complex CDO structures need to be priced using the market information on tranche losses at multiple points of time. Currently, the model is being used for the valuation of forward starting CDO trades (FSCDO) and losstrigger…[Read more]

David Lee deposited Calculating Risk Sensitivities for Monte Carlo Approach on Humanities Commons 3 months, 2 weeks ago
This article presents a model for pricing complex CDO structures and compute the sensitivities of the risk factors. The complex CDO structures need to be priced using the market information on tranche losses at multiple points of time. Currently, the model is being used for the valuation of forward starting CDO trades (FSCDO) and losstrigger…[Read more]

David Lee deposited Binary Return Note Valuation in the group Scholarly Communication on Humanities Commons 3 months, 2 weeks ago
The structure of a Binary Return Note is similar to the one of a regular note, but the coupons are
contingent on return rates on stocks. QuasiMonte Carlo simulation is used for pricing the product. 
David Lee deposited Binary Return Note Valuation in the group Public Humanities on Humanities Commons 3 months, 2 weeks ago
The structure of a Binary Return Note is similar to the one of a regular note, but the coupons are
contingent on return rates on stocks. QuasiMonte Carlo simulation is used for pricing the product. 
David Lee deposited Binary Return Note Valuation in the group Business Management on Humanities Commons 3 months, 2 weeks ago
The structure of a Binary Return Note is similar to the one of a regular note, but the coupons are
contingent on return rates on stocks. QuasiMonte Carlo simulation is used for pricing the product. 
The structure of a Binary Return Note is similar to the one of a regular note, but the coupons are
contingent on return rates on stocks. QuasiMonte Carlo simulation is used for pricing the product. 
David Lee deposited Fade Option Valuation in the group Scholarly Communication on Humanities Commons 3 months, 3 weeks ago
We present a pricing model for fade option. A fade option can be more precisely named as “pointbarrier option”. The fade option is a vanilla option that exists or dies if a barrier is breached on a single preset date, which is prior or equal to the contract maturity.

David Lee deposited Fade Option Valuation in the group Public Humanities on Humanities Commons 3 months, 3 weeks ago
We present a pricing model for fade option. A fade option can be more precisely named as “pointbarrier option”. The fade option is a vanilla option that exists or dies if a barrier is breached on a single preset date, which is prior or equal to the contract maturity.

David Lee deposited Fade Option Valuation in the group Business Management on Humanities Commons 3 months, 3 weeks ago
We present a pricing model for fade option. A fade option can be more precisely named as “pointbarrier option”. The fade option is a vanilla option that exists or dies if a barrier is breached on a single preset date, which is prior or equal to the contract maturity.

We present a pricing model for fade option. A fade option can be more precisely named as “pointbarrier option”. The fade option is a vanilla option that exists or dies if a barrier is breached on a single preset date, which is prior or equal to the contract maturity.

David Lee deposited Asian Futures Option Valuation in the group Scholarly Communication on Humanities Commons 4 months, 1 week ago
Average rate or Asian options have a payoff function proportional to an average rate or price. The average price is calculated over a sampling of specified dates that need not be equally spaced in time. The average price or rate tends to be less volatile than a single underlying price and hence, an option on the underlying average price should be…[Read more]

David Lee deposited Asian Futures Option Valuation in the group Public Humanities on Humanities Commons 4 months, 1 week ago
Average rate or Asian options have a payoff function proportional to an average rate or price. The average price is calculated over a sampling of specified dates that need not be equally spaced in time. The average price or rate tends to be less volatile than a single underlying price and hence, an option on the underlying average price should be…[Read more]

David Lee deposited Asian Futures Option Valuation in the group Business Management on Humanities Commons 4 months, 1 week ago
Average rate or Asian options have a payoff function proportional to an average rate or price. The average price is calculated over a sampling of specified dates that need not be equally spaced in time. The average price or rate tends to be less volatile than a single underlying price and hence, an option on the underlying average price should be…[Read more]

Average rate or Asian options have a payoff function proportional to an average rate or price. The average price is calculated over a sampling of specified dates that need not be equally spaced in time. The average price or rate tends to be less volatile than a single underlying price and hence, an option on the underlying average price should be…[Read more]

David Lee deposited Power Swap Valuation in the group Scholarly Communication on Humanities Commons 4 months, 2 weeks ago
The article discusses valuation models for the following products: power financial indices swap contracts (PWRSWAP), power financial transmission rights contracts (PWRSWAP FTR), power physical delivery contracts (PWRPHYS) and power physical transmission contracts (PWRTRSPREAD). All products have similar valuation structure – index swap (or s…[Read more]

David Lee deposited Power Swap Valuation in the group Public Humanities on Humanities Commons 4 months, 2 weeks ago
The article discusses valuation models for the following products: power financial indices swap contracts (PWRSWAP), power financial transmission rights contracts (PWRSWAP FTR), power physical delivery contracts (PWRPHYS) and power physical transmission contracts (PWRTRSPREAD). All products have similar valuation structure – index swap (or s…[Read more]
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