THE GREEKS OF THE PITERBARG OPTION PRICING FRAMEWORK
Journal Title: Topics in Economics, Business and Management (EBM) - Year 2017, Vol 1, Issue 1
Abstract
In this paper the Greeks are derived in the Piterbarg option pricing framework, which derives the price of an option through three unique interest rates, and collateral payments. The different scenarios of collateral payments are discussed, and closed form solutions for the option prices are derived. The Greeks are found for each scenario and implemented
Authors and Affiliations
Coenraad C. A. Labuschagne, Sven T. von Boetticher
INNOVATION AND DEVELOPMENT OF ACADEMIC LIBRARY SERVICE IN THE NEW MEDIA ERA
With the upcoming new media era, new challenges have been put forward to the academic library service. This paper analyzes the influence of new media on the service of academic library and puts forward the ways for acade...
THE COMMUNITY PARTICIPATION FACTORS AND ORGANIZATION ENVIRONMENT FACTORS RELATED TO THE SURVIVAL AND THRIVING OF THAI FLOATING MARKETS
The objectives of this research were firstly, to study the status identified the survival and thriving of Thai Floating Markets, secondly, to study Firm’s characteristics resulted to the survival and thriving of Thai Flo...
RESEARCH ON INTERNAL CONTROL INFORMATION DISCLOSURE OF LISTED COMPANIES
This paper focuses on the external social environment and the internal environment of listed companies in China, points out the problems existing in the internal control information disclosure of listed companies in Chin...
RECENT TRENDS AND PATHWAYS IN THE UN SUSTAINABLE DEVELOPMENT GOAL 7 IN THAILAND
Sustainable energy is a global issue with significant sustainable development implications. The UN Sustainable Development Goals (SDGs) has specific goal to the energy sector so-called SDG 7. The SDG 7 focuses on accessi...
COAL MINES AS A BARRIER TO THE DEVELOPMENT OF RENEWABLE ENERGY SOURCES – BY THE EXAMPLE OF POLAND
The article presents an analysis of mining restructuring programs in the possession of the state to check their effectiveness and their impact on changes in the energy sector. The state policy towards the Polish hard coa...