Results 11 to 20 of about 5,587,958 (297)
Pricing European Call Option in Scott’s Stochastic Volatility Model
, 2010 In this paper, we derive pricing equations for the European call option under Scott’s stochastic volatility model and achieve a price for the European call option by creating a JAVA applet. Through certain times of simulating we can observe the tendency of the options price, as a result, which it can provide the necessary data for implementing the ...
Zhao, Hailong, Hoque, S.M. Nazmul
core +4 more sources
Third-order extensions of Lo’s semiparametric bound for European call options [PDF]
European Journal of Operational Research, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Luis Fernando Zuluaga +2 more
openaire +3 more sources
Multi-asset option pricing using an information-based model
Scientific African, 2020 Diversification of assets by an investor offers reduced exposure to risk compared to investing in a single asset. A multi-asset option gives an investor this advantage as its payout depends on the overall performance of several underlying assets.
Cynthia Ikamari +2 more
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Pricing formula for exchange option in fractional black-scholes model with jumps [PDF]
Journal of Hyperstructures, 2014 In this paper pricing formula for exchange option in a fractional Black-Scholes model with jumps is derived. We found out some errors in proof of pricing formula for European call option [7]. At first we revise these errors and then extend this result to
Kyong-Hui Kim +2 more
doaj +1 more source
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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Computation, 2021 In the finance market, the Black–Scholes equation is used to model the price change of the underlying fractal transmission system. Moreover, the fractional differential equations recently are accepted by researchers that fractional differential equations
Sirunya Thanompolkrang +2 more
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Journal of Applied Mathematics, 2013 We study option pricing with risk-minimization criterion in an incomplete market where the dynamics of the risky underlying asset are governed by a jump diffusion equation.
Xinfeng Ruan +3 more
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MENENTUKAN HARGA OPSI DENGAN METODE MONTE CARLO BERSYARAT MENGGUNAKAN BARISAN KUASI ACAK FAURE
E-Jurnal Matematika, 2021 An option contract is a contract that gives the owner the right to sell or even to buy an asset at the predetermined price and period time. The conditional Monte Carlo is one of the several methods that is used to determine the option price which in the ...
PUTU WIDYA ASTUTI +2 more
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On regime-switching European option pricing
Cogent Economics & Finance, 2023 The concern of this article is to derive a regime switching model that can be utilized to price European call options for a financial market that exhibits structural changes with time.
Sebastian Kaweto Kalovwe +2 more
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Pricing European Options under a Fuzzy Mixed Weighted Fractional Brownian Motion Model with Jumps
Fractal and Fractional, 2023 This study investigates the pricing formula for European options when the underlying asset follows a fuzzy mixed weighted fractional Brownian motion within a jump environment.
Feng Xu, Xiao-Jun Yang
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