Nonparametric, conditional pricing of higher order multivariate contingent claims

Giannopoulos, Kostas

doi:10.1016/j.jbankfin.2007.12.017

Cited by 7 publications

(7 citation statements)

References 28 publications

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“…Our analysis can easily be extended to multi-factor stochastic interest processes -however, the pricing of options as a function of multiple underlying factors rapidly becomes a numerical challenge, see for instance Giannopoulos (2008).…”

Section: Resultsmentioning

confidence: 99%

An analysis of the true notional bond system applied to the CBOT T-bond futures

Ben-Abdallah

Ben‐Ameur

Breton

2009

Journal of Banking & Finance

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Section: Resultsmentioning

confidence: 99%

An analysis of the true notional bond system applied to the CBOT T-bond futures

Ben-Abdallah

Ben‐Ameur

Breton

2009

Journal of Banking & Finance

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“…The second step is to estimate an empirical copula function from historical data in order to describe the dependence structure among the underlying assets. Various attempts can be found in the existing literature, for example, Giannopoulos [30] , and Bedendo, et al [31] .…”

Section: Pricing Basket Optionsmentioning

confidence: 99%

Risk management for international portfolios with basket options: A multi-stage stochastic programming approach

Yin

韩立岩(Han

2015

J Syst Sci Complex

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The authors consider the problem of active international portfolio management with basket options to achieve optimal asset allocation and combined market risk and currency risk management via multi-stage stochastic programming (MSSP). The authors note particularly the novel consideration and significant benefit of basket options in the context of portfolio optimization and risk management. Extensive empirical tests strongly demonstrate that basket options consistently have more clearly improvement on portfolio performances than a portfolio of vanilla options written on the same underlying assets. The authors further show that the MSSP model provides as a supportive tool for asset allocation, and a suitable test bed to empirically investigate the performance of alternative strategies.

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“…The calculation times refer to the time taken to calculate all the results in any given column. 12 Recently, Giannopoulos (2008) has described a non-parametric approach to model options based on multiple factors. His approach overcomes the curse of dimensionality but unfortunately his approach cannot incorporate early exercise features associated with American options and as such only applies to European options.…”

Section: Call On Maximum Of Two Assetsmentioning

confidence: 99%