Browsing Matematisk institutt by Author "Wallin, Olli"

Now showing items 1-4 of 4

  • DERIVATIVE-FREE GREEKS FOR THE BARNDORFF-NIELSEN AND SHEPHARD STOCHASTIC VOLATILITY MODEL 
    Benth, Fred Espen; Groth, Martin; Wallin, Olli (Research report / Forskningsrapport, 2007)
    We derive derivative-free formulas for the delta and other Greeks of options written on an asset modeled by a geometric Brownian motion with stochastic volatility of Barndorff-Nielsen and Shephard type. The method applies ...
  • Perpetual integral functionals of diffusions and their numerical computations 
    Wallin, Olli; Salminen, Paavo (Research report / Forskningsrapport, 2005)
    In this paper we study perpetual integral functionals of diffusions. Our interest is focused on cases where such functionals can be expressed as first hitting times for some other diffusions. In particular, we generalize ...
  • A SEMILINEAR EQUATION FOR THE AMERICAN OPTION IN A GENERAL JUMP MARKET 
    Karlsen, Kenneth H.; Wallin, Olli (Research report / Forskningsrapport, 2008)
    We study the pricing of American put and call options in a market with jumps. We extend and make rigorous previous work that characterizes the price as a solution of an integro-differential equation set on the whole domain. ...
  • VISCOSITY SOLUTIONS THEORY FOR TOLLING AGREEMENTS AND SWING OPTIONS 
    Wallin, Olli (Research report / Forskningsrapport, 2008)
    We investigate a constrained stochastic control problem connected to a financial contract representing a virtual factory. Commonly known as tolling agreements, these contracts are traded in free energy markets and include ...