Results 11 to 20 of about 1,680,218 (308)
On the equivalence of floating and fixed-strike Asian options [PDF]
, 2000 There are two types of Asian options in the financial markets which differ according to the role of the average price. We give a symmetry result between the floating and fixed-strike Asian options.
Henderson, V, Wojakowski, R M
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Delta-gamma-theta Hedging of Crude Oil Asian Options
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015 Since Black-Scholes formula was derived, many methods have been suggested for vanilla as well as exotic options pricing. More of investing and hedging strategies have been developed based on these pricing models.
Juraj Hruška
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Collateralised option pricing in a South African context: A Univariate GARCH approach
Cogent Economics & Finance, 2022 In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) models are considered.
Pierre J Venter +2 more
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Pricing and hedging of arithmetic Asian options via the Edgeworth series expansion approach
Journal of Finance and Data Science, 2016 In this paper, we derive a pricing formula for arithmetic Asian options by using the Edgeworth series expansion. Our pricing formula consists of a Black-Scholes-Merton type formula and a finite sum with the estimation of the remainder term.
Weiping Li, Su Chen
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Modeling of behavior of the option. The formulation of the problem [PDF]
Компьютерные исследования и моделирование, 2015 Object of research: The creation of algorithm for mass computations of options price for formation of a riskless portfolio. The method is based on the generalization of the Black-Scholes method.
A. V. Bogdanov +3 more
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Endotypes of Asian chronic rhinosinusitis with nasal polyps: A narrative review [PDF]
Precision and Future Medicine, 2022 Chronic rhinosinusitis (CRS) is classified as CRS with nasal polyps (CRSwNP) and CRS without nasal polyps (CRSsNP). CRSwNP is a distinct phenotype with heterogeneous endotypes and complex pathophysiological mechanisms.
Gwanghui Ryu +3 more
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Efficient BEM-Based Algorithm for Pricing Floating Strike Asian Barrier Options (with MATLAB® Code)
Axioms, 2018 This paper aims to illustrate how SABO (Semi-Analytical method for Barrier Option pricing) is easily applicable for pricing floating strike Asian barrier options with a continuous geometric average.
Alessandra Aimi +2 more
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Asian options and meromorphic Lévy processes [PDF]
Finance and Stochastics, 2014 18 pages, 1 ...
Daniel Hackmann, Alexey Kuznetsov 0001
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Risks, 2015 In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black–Scholes models.
Lingjiong Zhu
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Pricing the exotic: Path-dependent American options with stochastic barriers
Latin American Journal of Central Banking, 2021 We develop a novel pricing strategy that approximates the value of an American option with exotic features through a portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust in pricing
Alejandro Rojas-Bernal +1 more
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