Greeks
A short cut to the rainbow
Per Horfelt designs an efficient and accurate method to price many popular multi-asset options such as options on the minimum and maximum of several assets and podiums. The method is based on a modification of the conditional independence model and is…
The vanna-volga method for implied volatilities
Cutting Edge - Option pricing
The vanna-volga method for implied volatilities
Option pricing
Globalisation and equity index exposure
Does the global presence of large multinational companies diminish the diversification effect inequity portfolios? Gary Robinson argues that this is indeed the case, and suggests a remedy
Static barriers
Exotic options