3 papers
math.ST2025
Probabilistic closed-form formulas for pricing nonlinear payoff variance and volatility derivatives under Schwartz model with time-varying log-return volatility
Nontawat Bunchak, Udomsak Rakwongwan, Phiraphat Sutthimat
This paper presents closed-form analytical formulas for pricing volatility and variance derivatives with nonlinear payoffs under discrete-time observations. The analysis is based o…
q-fin.PR2020
Optimal semi-static hedging in illiquid markets
Teemu Pennanen, Udomsak Rakwongwan
We study indifference pricing of exotic derivatives by using hedging strategies that take static positions in quoted derivatives but trade the underlying and cash dynamically over…
q-fin.PR2018
Pricing index options by static hedging under finite liquidity
John Armstrong, Teemu Pennanen, Udomsak Rakwongwan
We develop a model for indifference pricing in derivatives markets where price quotes have bid-ask spreads and finite quantities. The model quantifies the dependence of the prices…