Results 261 to 270 of about 5,587,958 (297)

A Variational Inequality Arising from European Installment Call Options Pricing

SIAM Journal on Mathematical Analysis, 2008
In this paper we consider a parabolic variational inequality arising from European continuous installment call options pricing and prove the existence and uniqueness of the solution to the problem. Moreover, we obtain $C^\infty$ regularity and the bounds of the free boundary, as well as the limit of the free boundary as $\tau=T-t\rightarrow+\infty ...
Fahuai Yi
exaly   +3 more sources

Application of the fuzzy–stochastic methodology to appraising the firm value as a European call option

European Journal of Operational Research, 2001
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Zdeněk Zmeškal
exaly   +4 more sources

Pricing American-Style Derivatives with European Call Options

Management Science, 2006
We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European call-option prices are readily available. By approximating the value function with an appropriately chosen interpolation function, the pricing of an American-style derivative ...
Scott B. Laprise, Michael C. Fu, Steven I. Marcus, Andrew E. B. Lim, Huiju Zhang   +4 more
openaire   +2 more sources

Robust European Call Option Pricing via Linear Regression

2025 IEEE Symposium on Computational Intelligence for Financial Engineering and Economics Companion (CiFer Companion)
exaly   +2 more sources

On Valuing American Call Options with the Black‐Scholes European Formula

The Journal of Finance, 1984
ABSTRACTEmpirical papers on option pricing have uncovered systematic differences between market prices and values produced by the Black‐Scholes European formula. Such “biases” have been found related to the exercise price, the time to maturity, and the variance.
Geske, Robert, Roll, Richard
openaire   +2 more sources

On the arbitrage price of European call options

Stochastic Models, 2016
ABSTRACTWe show that in a discrete price and discrete time model for option pricing, specifically that given by the Cox–Ross–Rubinstein model, the arbitrage price of a European call option can depend on parameters other than volatility (the standard deviation of the log asset price). We provide two theorems to illustrate this phenomenon.
openaire   +1 more source

Nonconvergence in the Variation of the Hedging Strategy of a European Call Option

Mathematical Finance, 2003
In this paper we consider the variation of the hedging strategy of a European call option when the underlying asset follows a binomial tree. In a binomial tree model the hedging strategy of a European call option converges to a continuous process when the number of time points increases so that the price process of the underlying asset converges to a ...
openaire   +3 more sources

The British call option

Quantitative Finance, 2013
Alongside the British put option [11] we present a new call option where the holder enjoys the early exercise feature of American options whereupon his payoff (deliverable immediately) is the ‘best prediction ’ of the European payoff under the hypothesis
Goran Peskir
exaly   +1 more source

On the pricing of European and American foreign currency call options

Journal of International Money and Finance, 1987
Abstract This study uses Cox-Ross analysis and dynamic programming techniques to price foreign currency call options. We show that, under certain conditions, the American call price will exceed its European counterpart, while under other conditions the two prices will be identical. We find that the American premium is a complex function of the degree
Paul D. Adams, Steve B. Wyatt
openaire   +1 more source

Put-Call Parity for European Exotic Options

SSRN Electronic Journal, 2009
I propose a simple generalization of put-call parity that holds for a large class of exotic European options. The result rests on a reasonable generalization of the concepts of put and call. The proof is based on the fundamental theorem of arbitrage pricing and elementary properties of real numbers.
openaire   +1 more source