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Proactive Hedging European Call Option Pricing with Linear Position Strategy [PDF]
Discrete Dynamics in Nature and Society, 2018 Proactive hedging option is an exotic European stock option designed for hedgers. Such option requires option holders to buy in (or sell out) the underlying asset (stock) and allows them to adjust the holdings of the underlying asset per its price ...
Meng Li, Xuefeng Wang, Fangfang Sun
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Pricing European Call Currency Option Based on Fuzzy Estimators ()
Applied Mathematics, 2011 In this paper we present an application of fuzzy estimators method to price European call currency option. We make use of fuzzy estimators for the volatility of exchange rate which based on statistical data to obtain the fuzzy pattern of G-K model. A numerical example is presented to get the -level closed intervals of the European call currency option
Xing Yu, Hongguo Sun, Guohua Chen
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Mathematical methods in the problem of an exotic European call option quantile hedging
Известия Томского политехнического университета: Инжиниринг георесурсов, 2019 The urgency of the discussed issue is caused by the need to provide mathematical tools allowing financial market agent to analyze and to forecast the economic processes. At the present time derivatives, including options, demonstrate a success of options
Elena Danilyuk, Svetlana Rozhkova
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PENENTUAN KONTRAK OPSI TIPE EROPA MENGGUNAKAN MODEL SIMULASI VARIANCE GAMMA (VG)
E-Jurnal Matematika, 2023 Options are used as a hedge against stock price uncertainty brought on by unstable stock prices fluctuation. The price of an option contract can be determined using a variety of approaches, one of which is the Variance Gamma. The purpose of this study is
NI KADEK LANI PITRAYANI +2 more
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Exotic option pricing model of the Black–Scholes formula: a proactive investment strategy
Frontiers in Physics, 2023 The option is an important derivative tool in financial market, and after decades of development, the option has emerged in various forms. This paper studies an exotic option with a proactive investment strategy.
Jingyu Wu +4 more
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PRICING OF CALL OPTIONS USING THE QUASI MONTE CARLO METHOD
Barekeng, 2023 A call option is a type of option that grants the option holder the right to buy an asset at a specified price within a specified period of time. Determining the option price period of time within a certain period of time is the most important part of ...
Indah Oktaviani +2 more
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Risks, 2021 It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one
Stephan Höcht +3 more
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Penentuan Nilai Opsi Call Eropa Dengan Pembayaran Dividen
Sainsmat, 2016 Fluktuasi harga saham menyebabkan perdagangan saham memiliki resiko. Opsi merupakan alternatif untuk mengurangi resiko dalam perdagangan saham. Opsi Eropa adalah suatu kontrak keuangan yang memberikan hak, bukan kewajiban, kepada holder, untuk membeli ...
Diana Purwandari
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EUROPEAN CALL OPTION APPLICATION IN INCOMPLETE MARKET-ANALYSIS AND DEVELOPMENT [PDF]
Journal of Computer Science, 2014 Option is derivative instrument that have investmen t benefit and provide return for the writer and the holder. Option price determination is affected by risk fact or. However in Black-Scholes model option price is determined without arbitrage risk affection so it i s impossible to take return.
Ro'fah Nur Rachmawati +2 more
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Residue Sum Formula for Pricing Options under the Variance Gamma Model
Mathematics, 2021 We present and prove a triple sum series formula for the European call option price in a market model where the underlying asset price is driven by a Variance Gamma process.
Pedro Febrer, João Guerra
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