Cojump risks and their impacts on option pricing

Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang

doi:10.1016/j.qref.2020.07.009

Cited by 2 publications

(3 citation statements)

References 34 publications

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“…Critical attitude to the relevant opinions of senior management, the board of directors of the enterprise should be independent of a new regulatory authority to manage it, and at the same time to give high authority to isolate it from the senior management, can not influence the impact of relevant decisions, so as to ensure the normal operation of the enterprise and the rights and interests of shareholders and customers. It is also important to utilise market volatility, supplemented by the appropriate use of relevant data tools, for risk control management [10].…”

Section: Professional Staff To Carry Out Risk Control and Operationsmentioning

confidence: 99%

A study of the correlation between volatility and risk diversification control in options and futures markets

Yang

2024

SHS Web Conf.

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With the continuous development of financial derivatives, many enterprises increasingly prefer using financial derivatives such as options and futures when hedging their risks. However, in the process of using them, many enterprises do not use them as a tool for risk hedging but instead use them for hedging or even try to achieve short-term wealth appreciation through options and futures trading, which is contrary to the original intention of enterprises to use financial derivatives. At the same time, financial derivatives are affected by market volatility. Without professionals to carry out risk control, it will be a double-edged sword; using bad will become a sword to stab at the enterprise. This paper adopts the illustrative method and literature research method to analyse the impact of market volatility and the importance of risk control of options futures by taking the example of the German metal company trying to hedge through options futures in 1993, which ultimately caused the enterprise to fall into difficulties.

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Section: Professional Staff To Carry Out Risk Control and Operationsmentioning

confidence: 99%

A study of the correlation between volatility and risk diversification control in options and futures markets

Yang

2024

SHS Web Conf.

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“…In the present paper, the Radon-Nikodým derivative is applied separately in the continuous and jump parts. Through the use of the frameworks employed in Gerber and Shiu ( 1996 ) and Lian et al ( 2021 ), he Esscher transform for the exchange rate transform—under the measure on the filtration —with respect to , , and is obtained by using the following equation. where , , and represent the Esscher transform parameters of the continuous process, upside jump, and downside jump, respectively.…”

Section: The Modelmentioning

confidence: 99%

“…The Radon–Nikodým derivative are discussed in continuous part and jump part separately. By employing the Esscher transform developed by Gerber and Shiu ( 1994 ), Gerber and Shiu ( 1996 ), and Lian et al ( 2021 ) to select the martingale pricing measure for domestic zero-coupon bond, the Radon–Nikodým derivative of the Esscher transform is given by: The distributions of jump size and jump intensity under measure are still need to be found. For the jump part, it has where and .…”

Section: Appendix 1: Dynamic Process Of Domestic and Foreign Interest...mentioning

confidence: 99%

Upside and downside correlated jump risk premia of currency options and expected returns

Chang

Chen

et al. 2023

Financ Innov

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This research explores upside and downside jumps in the dynamic processes of three rates: domestic interest rates, foreign interest rates, and exchange rates. To fill the gap between the asymmetric jump in the currency market and the current models, a correlated asymmetric jump model is proposed to capture the co-movement of the correlated jump risks for the three rates and identify the correlated jump risk premia. The likelihood ratio test results show that the new model performs best in 1-, 3-, 6-, and 12-month maturities. The in- and out-of-sample test results indicate that the new model can capture more risk factors with relatively small pricing errors. Finally, the risk factors captured by the new model can explain the exchange rate fluctuations for various economic events.

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Cojump risks and their impacts on option pricing

Cited by 2 publications

References 34 publications

A study of the correlation between volatility and risk diversification control in options and futures markets

A study of the correlation between volatility and risk diversification control in options and futures markets

Upside and downside correlated jump risk premia of currency options and expected returns

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