Category: Finance

In options markets where there is a significant or persis- tent volatility smile, implied tree models can ensure the consistency of exotic options prices with…

Most real-world barrier options have no analytic solutions, either because the barrier structure is complex or because of volatility skews in the market. Numerical solutions…

The Journal of Derivatives, 2-4 Summer 1995, pp. 78-95 This paper presents a method for replicating or hedging a target stock option with a portfolio…

gs-volatility_smile RISK, 7-2 Feb.1994, pp. 139-145, pp. 32-39 The market implied volatilities of stock index options often have a skewed structure, commonly called “the volatility…

Outpereformance Options

This article describes a model of interest rates that can be used to value any interest-rate-sensitive security.  In explaining how it works, we concentrate on…