Static Hedging of Asian Options under Levy Models: The Comonotonicity Approach (2004)
Hansjorg Albrecher, Marc Goovaerts, Wim Schoutens
In this paper we present a simple static super-hedging strategy for the payo# of an arithmetic Asian option in terms of a portfolio of European options. Moreover, it is shown that the obtained hedge...
Nualart, David, Schoutens, Wim
In this paper we show the existence and uniqueness of a solution for backward stochastic differential equations driven by a Lévy process with moments of all orders. The results are important from a...
Discrete Chaotic Calculus and Covariance Identities (2001)
Nicolas Privault, Wim Schoutens
We show that for the binomial process (or Bernoulli random walk) the orthogonal functionals constructed in Kroeker [14] for Markov chains can be expressed using the Krawtchouk polynomials, and by...
Meixner Processes in Finance (2001)
In the Black-Scholes option price model Brownian motion and the underlying Normal distribution play a fundamental role. Empirical evidence however shows that the normal distribution is a very poor...
BSDE's, Clark-Ocone Formula, and Feynman-Kac Formula for L'evy Processes (2000)
David Nualart, Gran Via, Corts Catalanes, Wim Schoutens
In this paper we show the existence and uniqueness of a solution for backward stochastic differential equations driven by a L'evy process with moments of all orders. An application to Clark-Ocone and...
Orthogonal Polynomials in Stein's Method (2000)
We discuss Stein's method for Pearson's and Ord's family of distributions. We give a systematic treatment, including the Stein equation, its solution and smoothness conditions. A key role in the...
A Multivariate Jump-Driven Financial Asset Model
We discuss a Lévy multivariate model for financial assets which incorporates jumps, skewness, kurtosis and stochastic volatility. We use it to describe the behavior of a series of stocks or indexes...
A Multivariate Jump-Driven Financial Asset Model.
In this paper, we propose a multivariate model for nancial assets which incorporates jumps, skewness, kurtosis and stochastic volatility, and discuss its applications in the context of equity and...
In this paper we discuss moment swaps. These derivatives depend on the realized higher moments of the underlying. A special case is the nowadays popular variance swaps. After introducing moment swaps...
Completion of a Lévy market by power-jump assets
José Manuel Corcuera, David Nualart, Wim Schoutens
Except for the geometric Brownian model and the geometric Poissonian model, the general geometric Lévy market models are incomplete models and there are many equivalent martingale measures. In this...
SELF EXCITING THRESHOLD INTEREST RATES MODELS
MARC DECAMPS, MARC GOOVAERTS, WIM SCHOUTENS
In this paper, we study a new class of tractable diffusions suitable for model's primitives of interest rates. We consider scalar diffusions with scale sâ²(x) and speed m(x) densities discontinuous...
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT
In this paper, we will explain how to perfectly hedge under Heston's stochastic volatility model with jump-to-default, which is in itself a generalization of the Merton jump-to-default model and a...