Northfield Ave.
Wollongong, NSW
Australia
University of Wollongong
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Chinese warrant, intrinsic value, abnormal warrant price, T 1 trading rule, irrational behavior, rational trading strategy
Variance Swaps, Heston Model, Closed-Form Exact Solution, Explicit Formula, Stochastic Volatility
Variance Swaps, Heston Model, Explicit Formulae, Stochastic Volatility
Hard-to-borrow stock; Option pricing; Short-selling; Buy-in
Option pricing, Short sell ban, Calibration, S\&P/ASX 200 index, Out-of-sample.
Tikhonov Regularisation, Calibration, SABR, Heston model
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model calibration; regularization; option pricing model; out-of-sample forecast; global optimization.
Stochastic optimal control; Application in finance; Optimal portfolio execution problem; Regime-switching price impact; Markov jump system; Coupled differential Riccati equations.
Discrete Barrier Options, Lévy Processes, Fourier-Cosine Series
derivative pricing, trading constraints, risk measures, short selling ban
Continuous-time investment and consumption problem; Return predictability; Linear temporary price impact; Execution costs; Utility maximization.
Down-and-in options, American-style Parisian options, moving window technique, analytical solutions
Regime-switching model, Hidden Markov model, Integral Equation, American option, Numerical Methods
variance swaps, Heston model, closed-form exact solution, explicit formula, stochastic volatility
