Trading Option Portfolios Using Expected Profit and Expected Loss Metrics
RisksWhen trading in the call and put contracts of option chains, the portfolios of strikes must be selected. The trader must also decide whether to take long or short positions at the selected strikes.
Johannes Hendrik Venter +1 more
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On the Pricing of Call-Put Parities of Asian Options by Reduced Differential Transform Algorithm
International Journal of Analysis and Applications, 2020 The key aim of the paper is to show that how the efficiently the Reduced Differential Transform Algorithm (RDTA) can be employed to price the exotic financial options.
Javed Hussain, Muhammad Shoaib Khan
doaj
The consistency of the optional approach to the evaluation of the companies in terms of globalization [PDF]
Anali Ekonomskog fakulteta u Subotici, 2015 The aim of this paper is to explain the option approach that is not only a tool for evaluating future projects, but may represent a good tool for evaluating companies.
Romić Lidija, Milenković Ivan
doaj
Pricing Discrete Barrier Options under Stochastic Volatility [PDF]
This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively ...
Akihiko Takahashi +2 more
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Dynamic hedging of equity call options [PDF]
Estudos de Gestão, 1993 The theory of option pricing assumes generally that options can be replicated through dynamic hedging in the underlying stock. First, we outline the assumptions behind the popular models, such as regarding the distribution of stock returns, and the probability of the terminal stock value reaching certain levels.
João Duque, Dean Paxson
openaire +1 more source
Joint Modeling of Call and Put Implied Volatility [PDF]
This paper exploits the fact that implied volatilities calculated from identical call and put options have often been empirically found to differ, although they should be equal in theory.
Ahoniemi, Katja, Lanne, Markku
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Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions [PDF]
This paper presents a numerical method for pricing American call options where the underlying asset price follows a jump-diffusion process. The method is based on the Fourier-Hermite series expansions of Chiarella, El-Hassan & Kucera (1999), which we ...
Andrew Ziogas, Carl Chiarella
core
Option Pricing: The empirical tests of the Black-Scholes pricing formula and the feed-forward networks [PDF]
In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till ...
Michaela Vlasáková Baruníková
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Strategic Timing in Financial Markets: Real Options Analysis of American Options
Ratio MathematicaThis paper delves into the nuanced realm of option pricing, focusing specifically on American call and put options within the framework of real options analysis.
Gilles Tamba Bokolo +3 more
doaj +1 more source
Accuracy of Implied Volatility Approximations Using "Nearest-to-the-Money" Option Premiums [PDF]
Implied volatility is a useful bit of information for futures and options hedgers and speculators. However, extraction of implied volatility from Black-Scholes (BS) option pricing model requires a numeric search.
Bridges, William +3 more
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