This paper presents a lattice algorithm for pricing both Europeanand American-style moving average barrier options (MABOs). We develop a finite-dimensional partial differential equation (PDE) model for discretely monitored MABOs and solve it numerically by using a forward shooting grid method. The modeling PDE for continuously monitored MABOs has infinite dimensions and cannot be solved directl...

The present study aimed to evaluate productive characteristics and the physical, chemical sensory quality of juices elaborated from different genotypes ‘Bordô’ cv. produced in Vale do Rio Peixe-SC region, 2016/17. 11 clones evaluated were identified as: G03, G07, G08, G10, G12, G13, G15, G16, G17, G18 G19. At harvest, fruit production evaluated. mean productivity tested was 31.2 t ha-1, with a ...

This paper implements a reduced form credit default swap (CDS) pricing model. Theoretical prices found are compared with market prices to evaluate the goodness of fit. Theoretical prices and pricing errors are inspected by rating classes, sectors of economic activity and currency denomination of CDS. Pricing errors are analyzed through panel data estimation techniques, to find determinants of p...

This article describes forward-start CDO’s (FCDO’s), options to start CDO’s, and their risk-neutral valuation. The valuation method represents an extension of previous work Walker (2005, 2006) on a static model for the valuation of ordinary CDO’s to a model containing the necessary dynamics. The focus of the work will be to develop a model with sufficient flexibility that it can be used to cali...

This paper presents a 3D model for pricing defaultable bonds with embedded call options. The pricing model incorporates three essential ingredients in the pricing of defaultable bonds: stochastic interest rate, stochastic default risk, and call provision. Both the stochastic interest rate and the stochastic default risk are modeled as a square-root diffusion process. The default risk process is...

Using intra-day data, this paper investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is fou...

We study a novel aspect of a firm’s capital structure, namely the profile of its debt maturity dates. In a simple theoretical framework we show that the dispersion of debt maturities constitutes an important dimension of capital structure choice, driven by firm characteristics and debt rollover risk. Guided by these results we establish two main empirical results. First, using an exogenous shoc...

We develop a simple robust link between deep out-of-the-money American put options on a company’s stock and a credit insurance contract on the company’s bond. We assume that the stock price stays above a barrier B before default but drops below a lower barrier A after default, thus generating a default corridor [A, B] that the stock price can never enter. Given the presence of this default corr...

We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the risk-neutral expected value of return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options.We propose to use the difference between the realized variance and this synthetic variance swap rate to quantify the varia...

In an effort to bolster soundness standards in banking, the 2006 international regulatory agreement of Basel II requires globally active banks to include operational risk in estimating regulatory and economic capital to be held against major types of risk. This paper discusses practical issues faced by a bank in designing and implementing an operational risk capital model. Focusing on the use o...