Option pricing
A novel Fourier transform B-spline method for option pricing
By means of B-spline interpolation, this paper provides an accurate closed-form representation of the option price under an inverse Fourier transform.
Trading calendar spread options on energy futures
Sponsored feature: CME Group
American options: time-critical pricing
Time constraints can be binding for ‘heavy’ Monte Carlo calculations of risk analytics – value-at-risk, potential future exposure, credit valuation adjustment – in intraday risk monitoring, so fast approximations are sometimes preferred. Vladislav…
Quantized calibration in local volatility
Quantization is applied to price vanilla and barrier options
Funding in option pricing: the Black-Scholes framework extended
Wujiang Lou shows the impact of funding costs on option valuation
Heston model: shifting on the volatility surface
Stochastic volatility model combining Heston vol model and CIR++
Cutting edge: Incorporating forex volatility into commodity spread option pricing
Spread option pricing: importance of forex risk factors illustrated
Smile transformation for price prediction
Prediction of arbitrage-free option prices that outperform existing models
Time for a timer
Time for a timer
Hedge backtesting for model validation
Hedge backtesting for model validation
Smile in the low moments
Smile in the low moments
Rational shapes of local volatility
Rational shapes of local volatility
Physics versus finance: Science strikes back
Science strikes back
Risk reaches 25-year anniversary
In celebration of our 25th anniversary this year, Risk re-publishes a landmark article by Fischer Black, offering a critique of the Black-Scholes model
Technology: Cloud on the horizon?
Cloud on the horizon?
Sponsored feature: Royal Bank of Scotland
Efficient hedging – Using market distortion to your advantage
Quanto adjustments in the presence of stochastic volatility
Quanto adjustments in the presence of stochastic volatility