Results 11 to 20 of about 1,423,638 (199)
Option Contracts in Fresh Produce Supply Chain with Freshness-Keeping Effort
Mathematics, 2022 This study investigates a supply chain of fresh produce with consideration of option contracts and where stochastic market demand depends on freshness-keeping effort.
Deng Jia, Chong Wang
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A note on intraday option pricing [PDF]
, 2013 Compound renewal processes can be used as an approximate phenomenological model of tick-by-tick price fluctuations. An exact and explicit general formula is derived for the martingale price of a European call option written on a compound renewal process.
Scalas, Enrico, Politi, Mauro
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Heliyon, 2020 In this study, we analyzed option pricing of rainfall derivatives based on stochastic daily rainfall model. We used Markov Chain Analogue Year model (MCAY) in order to describe occurrence process of daily rainfall. We have included the Analogue Year (AY)
Tesfahun Berhane +3 more
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Acta Economica, 2014 Starting in 1973 with publishing the paper The pricing of Options and Corporate Liabilities, Fischer Black and Myron Scholes made a revolution in the world of fnances.
Драган Јањић
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Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus [PDF]
, 2011 We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which ...
AGZ Kemna +17 more
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Statistically fair price for the European call options according to the discreet mean/variance model [PDF]
Компьютерные исследования и моделирование, 2014 We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution.
Anastasiya Sergeevna Odintsova +1 more
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Pricing of Quanto power options and related exotic options
Results in Applied Mathematics, 2023 The objective of this work is threefold. Firstly, to derive the no-arbitrage premium of the α-Quanto option with power type payoff. Secondly, to price the Quanto option of power payoff when the underlying foreign currency is driven by Brownian motion and
Javed Hussain
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E-Jurnal Matematika, 2018 Barrier option is an option where the payoff price depends on whether or not the stock price passes the barrier during its life time. The aim of the research is to compare the convergence between conditional Monte Carlo and antithetic variate methods in
NI LUH PUTU KARTIKA WATI +2 more
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Estimasi Harga Multi-State European Call Option Menggunakan Model Binomial
Cauchy: Jurnal Matematika Murni dan Aplikasi, 2011 Option merupakan kontrak yang memberikan hak kepada pemiliknya untuk membeli (call option) atau menjual (put option) sejumlah aset dasar tertentu (underlying asset) dengan harga tertentu (strike price) dalam jangka waktu tertentu (sebelum atau saat ...
Mila Kurniawaty, Endah Rokhmati +1 more
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PRICING OF THE ASIAN OPTION WITH THE KAMRAD-RITCHKEN’S TRINOMIAL MODEL
BarekengAsian Option determines its payoff option value by the average stock during the option period. This research aims to determine the price of Asian Option by average arithmetic using Kamrad-Ritchken’s Trinomial method.
Jihan Nabila Wafa’, Emy Siswanah
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