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Concept

Delta neutral

Publications associées (4)

Asian option pricing with orthogonal polynomials

Sander Félix M Willems

In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution. All terms in the ...

ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD2019

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

Co-Movements of Index Options and Futures Quotes

Rüdiger Fahlenbrach

We report evidence that the co-movements of index options and index futures quotes differ sharply from perfect correlation in periods with option trades. In half-hour intervals with (without) option trades 25% (12%) of call option quote changes have either ...

2008

Toward a Mechanistic Understanding of Human Decision Making

This article considers the contribution of functional neuroimaging toward understanding the computational underpinnings of human decision making. We outline the main processes likely underlying the capacity to make simple choices and describe their associa ...

2008