Browsing Documentos indexados pela Scopus by Author "Fajardo, José"
Now showing items 1-6 of 6
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Barrier style contracts under Lévy processes once again
2018In this paper we present new pricing formulas for some Barrier style contracts of European type when the underlying process is driven by an important class of Lévy processes, which includes CGMY model, generalized hyperbolic ... -
Estimating risk aversion, risk-neutral and real-world densities using brazilian real currency options
2012This paper uses the Liu et al. (2007) approach to estimate the optionimplied Risk-Neutral Densities (RND), real-world density (RWD), and relative risk aversion from the Brazilian Real/US Dollar exchange rate distribution. ... -
Optimal insider strategy with law penalties
2016We study the optimal continuous trading strategy of an insider who is subject to the possibility of law penalties due to her illegal trading activity. Also, we discuss how to obtain the optimal penalty rule in order to ... -
Skewed Lévy models and implied volatility skew
2018We introduce skewed Lévy models, characterized by a symmetric jump measure multiplied by a damping exponential factor. These models exhibit a clear implied volatility pattern, where the damping parameter controls the implied ... -
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models
2014We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, 2006), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth ... -
Understanding the impact of severe hyperinflation experience on current household investment behavior
2018We propose that a hyperinflation event has a long-lasting effect on household investment behavior. We want to investigate whether future stock market participation can be influenced by a single extreme macroeconomic ...
