The Experts below are selected from a list of 360 Experts worldwide ranked by ideXlab platform
Fei Peng - One of the best experts on this subject based on the ideXlab platform.
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pricing maximum minimum bidirectional options in Trinomial cev model
Journal of Economics Finance and Administrative Science, 2016Co-Authors: Bin Peng, Fei PengAbstract:Maximum-minimum bidirectional options are a kind of exotic path dependent options. In the constant elasticity of variance (CEV) model, a combining Trinomial tree was structured to approximate the nonconstant volatility that is a function of the underlying asset. On this basis, a simple and efficient recursive algorithm was developed to compute the risk-neutral probability of each different node for the underlying asset reaching a maximum or minimum price and the total number of maxima (minima) in the Trinomial tree. With help of it, the computational problems can be effectively solved arising from the inherent complexities of different types of maximum-minimum bidirectional options when the underlying asset evolves as the Trinomial CEV model. Numerical results demonstrate the validity and the convergence of the approach mentioned above for the different parameter values set in the Trinomial CEV model. Las opciones bidireccionales maximas-minimas son un tipo de opciones exoticas dependientes de la trayectoria. En el modelo de elasticidad constante de la varianza (ECV), se estructuro un arbol Trinomial combinado para aproximar la volatilidad no constante, que es una funcion del activo subyacente. En base a esto se desarrollo un algoritmo sencillo y eficaz para calcular la probabilidad de neutralidad al riesgo de cada nodo del activo subyacente llegando a un precio maximo o minimo y el numero total de maximos (minimos) del arbol Trinomial. De esta manera, los problemas computacionales pueden resolverse eficazmente a raiz de las complejidades inherentes a los distintos tipos de opciones bidireccionales maximas-minimas cuando el activo subyacente evoluciona como el modelo ECV Trinomial. Los resultados numericos demuestran la validez y convergencia del enfoque anteriormente mencionado para los parametros de valores establecidos en el modelo ECV Trinomial.
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pricing maximum minimum bidirectional options in Trinomial cev model
Social Science Research Network, 2016Co-Authors: Bin Peng, Fei PengAbstract:Maximum-minimum bidirectional options are a kind of exotic path dependent options. In the constant elasticity of variance (CEV) model, a combining Trinomial tree was structured to approximate the nonconstant volatility that is a function of the underlying asset. On this basis, a simple and efficient recursive algorithm was developed to compute the risk-neutral probability of each different node for the underlying asset reaching a maximum or minimum price and the total number of maxima (minima) in the Trinomial tree. With help of it, the computational problems can be effectively solved arising from the inherent complexities of different types of maximum-minimum bidirectional options when the underlying asset evolves as the Trinomial CEV model. Numerical results demonstrate the validity and the convergence of the approach mentioned above for the different parameter values set in the Trinomial CEV model.
Bin Peng - One of the best experts on this subject based on the ideXlab platform.
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pricing maximum minimum bidirectional options in Trinomial cev model
Journal of Economics Finance and Administrative Science, 2016Co-Authors: Bin Peng, Fei PengAbstract:Maximum-minimum bidirectional options are a kind of exotic path dependent options. In the constant elasticity of variance (CEV) model, a combining Trinomial tree was structured to approximate the nonconstant volatility that is a function of the underlying asset. On this basis, a simple and efficient recursive algorithm was developed to compute the risk-neutral probability of each different node for the underlying asset reaching a maximum or minimum price and the total number of maxima (minima) in the Trinomial tree. With help of it, the computational problems can be effectively solved arising from the inherent complexities of different types of maximum-minimum bidirectional options when the underlying asset evolves as the Trinomial CEV model. Numerical results demonstrate the validity and the convergence of the approach mentioned above for the different parameter values set in the Trinomial CEV model. Las opciones bidireccionales maximas-minimas son un tipo de opciones exoticas dependientes de la trayectoria. En el modelo de elasticidad constante de la varianza (ECV), se estructuro un arbol Trinomial combinado para aproximar la volatilidad no constante, que es una funcion del activo subyacente. En base a esto se desarrollo un algoritmo sencillo y eficaz para calcular la probabilidad de neutralidad al riesgo de cada nodo del activo subyacente llegando a un precio maximo o minimo y el numero total de maximos (minimos) del arbol Trinomial. De esta manera, los problemas computacionales pueden resolverse eficazmente a raiz de las complejidades inherentes a los distintos tipos de opciones bidireccionales maximas-minimas cuando el activo subyacente evoluciona como el modelo ECV Trinomial. Los resultados numericos demuestran la validez y convergencia del enfoque anteriormente mencionado para los parametros de valores establecidos en el modelo ECV Trinomial.
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pricing maximum minimum bidirectional options in Trinomial cev model
Social Science Research Network, 2016Co-Authors: Bin Peng, Fei PengAbstract:Maximum-minimum bidirectional options are a kind of exotic path dependent options. In the constant elasticity of variance (CEV) model, a combining Trinomial tree was structured to approximate the nonconstant volatility that is a function of the underlying asset. On this basis, a simple and efficient recursive algorithm was developed to compute the risk-neutral probability of each different node for the underlying asset reaching a maximum or minimum price and the total number of maxima (minima) in the Trinomial tree. With help of it, the computational problems can be effectively solved arising from the inherent complexities of different types of maximum-minimum bidirectional options when the underlying asset evolves as the Trinomial CEV model. Numerical results demonstrate the validity and the convergence of the approach mentioned above for the different parameter values set in the Trinomial CEV model.
Zvi Wiener - One of the best experts on this subject based on the ideXlab platform.
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Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models
Review of Derivatives Research, 2004Co-Authors: Markus Leippold, Zvi WienerAbstract:In this paper we propose a computationally efficient implementation of general one factor short rate models with a Trinomial tree. We improve the Hull–White’s procedure to calibrate the tree to bond prices by circumventing the forward rate induction and numerical root search algorithms. Our calibration procedure is based on forward measure changes and is as general as the Hull–White procedure, but it offers a more efficient and flexible method of constructing a Trinomial term structure model. It can be easily implemented and calibrated to both prices and volatilities.
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efficient calibration of Trinomial trees for one factor short rate models
Social Science Research Network, 2003Co-Authors: Markus Leippold, Zvi WienerAbstract:In this paper we discuss the implementation of general one-factor short rate models with a Trinomial tree. Taking the Hull-White model as a starting point, our contribution is threefold. First, we show how trees can be spanned using a set of general branching processes. Secondly, we improve Hull-White's procedure to calibrate the tree to bond prices by a much more efficient approach. This approach is applicable to a wide range of term structure models. Finally, we show how the tree can be adjusted to the volatility structure. The proposed approach leads to an efficient and exible construction method for Trinomial trees, which can be easily implemented and calibrated to both prices and volatilities.
Markus Leippold - One of the best experts on this subject based on the ideXlab platform.
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Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models
Review of Derivatives Research, 2004Co-Authors: Markus Leippold, Zvi WienerAbstract:In this paper we propose a computationally efficient implementation of general one factor short rate models with a Trinomial tree. We improve the Hull–White’s procedure to calibrate the tree to bond prices by circumventing the forward rate induction and numerical root search algorithms. Our calibration procedure is based on forward measure changes and is as general as the Hull–White procedure, but it offers a more efficient and flexible method of constructing a Trinomial term structure model. It can be easily implemented and calibrated to both prices and volatilities.
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efficient calibration of Trinomial trees for one factor short rate models
Social Science Research Network, 2003Co-Authors: Markus Leippold, Zvi WienerAbstract:In this paper we discuss the implementation of general one-factor short rate models with a Trinomial tree. Taking the Hull-White model as a starting point, our contribution is threefold. First, we show how trees can be spanned using a set of general branching processes. Secondly, we improve Hull-White's procedure to calibrate the tree to bond prices by a much more efficient approach. This approach is applicable to a wide range of term structure models. Finally, we show how the tree can be adjusted to the volatility structure. The proposed approach leads to an efficient and exible construction method for Trinomial trees, which can be easily implemented and calibrated to both prices and volatilities.
Sergey Gaifullin - One of the best experts on this subject based on the ideXlab platform.
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on homogeneous locally nilpotent derivations of Trinomial algebras
Journal of Algebra and Its Applications, 2019Co-Authors: Sergey Gaifullin, Yulia ZaitsevaAbstract:We provide an explicit description of homogeneous locally nilpotent derivations of the algebra of regular functions on affine Trinomial hypersurfaces. As an application, we describe the set of root...
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on homogeneous locally nilpotent derivations of Trinomial algebras
arXiv: Algebraic Geometry, 2018Co-Authors: Sergey Gaifullin, Yulia ZaitsevaAbstract:We provide an explicit description of homogeneous locally nilpotent derivations of the algebra of regular functions on affine Trinomial hypersurfaces. As an application, we describe the set of roots of Trinomial algebras.
