34 citations · 46 across the 17 of their papers we have counts for
6 papers · 1 filter
Beyond Lognormal Sums: A Four-Moment Probability Framework for Basket and Spread Option Pricing
Dongdong Hu, Hasanjan Sayit, Steve Tchoneteck +1
Basket options are difficult to value under correlated lognormal dynamics because weighted sums and differences of lognormal variables have no tractable distribution. This paper de…
Pricing basket options with the first three moments of the basket: log-normal models and beyond
Dongdong Hu, Hasanjan Sayit, Frederi Viens
Options on baskets (linear combinations) of assets are notoriously challenging to price using even the simplest log-normal continuous-time stochastic models for the individual asse…
Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture Lévy Motions
Dongdong Hu, Hasanjan Sayit, Svetlozar T. Rachev
The paper Borovkova et al. [4] uses moment matching method to obtain closed form formulas for spread and basket call option prices under log normal models. In this note, we also us…
Sticky continuous processes have consistent price systems
Christian Bender, Mikko S. Pakkanen, Hasanjan Sayit
Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves wit…
No Arbitrage Conditions For Simple Trading Strategies
Erhan Bayraktar, Hasanjan Sayit
Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in th…
On the Stickiness Property
Erhan Bayraktar, Hasanjan Sayit
In [2] the notion of stickiness for stochastic processes was introduced. It was also shown that stickiness implies absense of arbitrage in a market with proportional transaction co…