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Conference Paper: Valuing embedded options under jump diffusion models
| Title | Valuing embedded options under jump diffusion models |
|---|---|
| Authors | |
| Issue Date | 2016 |
| Citation | Symposium on Financial Engineering and Risk Management (FERM2016), Guangzhou, China, 12-13 June 2016 How to Cite? |
| Abstract | We consider the valuation of various embedded options in equity-linked products. We are interested in modeling the stock price as the exponential of a Brownian motion plus an independent compound Poisson process. Results for exponential stopping of a Levy process are used to derive a series of closed-form formulas for a variety of contingent call and put options, lookback options, and barrier options with single or double barriers. This talk is based on join work with Hans Gerber and Elias Shiu. |
| Description | Invited Session-SA03-I09 Host: Lingnan (University) College, Sun Yat-Sen University & Business School, Sun Yat-Sen University |
| Persistent Identifier | http://hdl.handle.net/10722/239147 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Yang, H | - |
| dc.date.accessioned | 2017-03-08T07:56:13Z | - |
| dc.date.available | 2017-03-08T07:56:13Z | - |
| dc.date.issued | 2016 | - |
| dc.identifier.citation | Symposium on Financial Engineering and Risk Management (FERM2016), Guangzhou, China, 12-13 June 2016 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/239147 | - |
| dc.description | Invited Session-SA03-I09 | - |
| dc.description | Host: Lingnan (University) College, Sun Yat-Sen University & Business School, Sun Yat-Sen University | - |
| dc.description.abstract | We consider the valuation of various embedded options in equity-linked products. We are interested in modeling the stock price as the exponential of a Brownian motion plus an independent compound Poisson process. Results for exponential stopping of a Levy process are used to derive a series of closed-form formulas for a variety of contingent call and put options, lookback options, and barrier options with single or double barriers. This talk is based on join work with Hans Gerber and Elias Shiu. | - |
| dc.language | eng | - |
| dc.relation.ispartof | Financial Engineering and Risk Management International Symposium 2016 | - |
| dc.title | Valuing embedded options under jump diffusion models | - |
| dc.type | Conference_Paper | - |
| dc.identifier.email | Yang, H: hlyang@hku.hk | - |
| dc.identifier.authority | Yang, H=rp00826 | - |
| dc.identifier.hkuros | 263543 | - |