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Discrete Hedging in the Mean/Variance Model for European Call Options
Journal of Mathematical Sciences, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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A COMPARISON OF GRADIENT ESTIMATION TECHNIQUES FOR EUROPEAN CALL OPTIONS [PDF]
Accounting & Taxation, 2012 Assuming the underlying assets follow a Variance-Gamma (VG) process, we consider the problem of estimating gradients of a European call option by Monte Carlo simulation methods. In this paper, we compare indirect methods (finite difference techniques such as forward differences) and two direct methods, infinitesimal perturbation analysis (IPA) and ...
Lingyan Cao, Zheng-Feng Guo
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Extensions of Lo’s Semiparametric Bound for European Call Options
2018Computing semiparametric bounds for option prices is a widely studied pricing technique. In contrast to parametric pricing techniques, such as Monte-Carlo simulations, semiparametric pricing techniques do not require strong assumptions about the underlying asset price distribution. We extend classical results in this area in two main directions. First,
Zuluaga, Luis F. +2 more
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Asymptotics of the price oscillations of a European call option in a tree model
Mathematical Finance, 2004It is well known that the price of a European vanilla option computed in a binomial tree model converges toward the Black‐Scholes price when the time step tends to zero. Moreover, it has been observed that this convergence is of order 1/n in usual models and that it is oscillatory.
Diener, Francine, Diener, Marc
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Pricing European Call Options Under a Hard-to-Borrow Stock
SSRN Electronic Journal, 2017In 2009, Avellaneda and Lipkin (A&L) proposed a dynamic model for hard-to-borrow stocks, in which the stock price and the buy-in rate, an additional factor introduced by them, are full coupled. In order to obtain a semi-explicit pricing formula for European call options, A&L had to make an independence assumption which has facilitated the derivation of
Guiyuan Ma, Song-Ping Zhu, Wenting Chen
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Assessment of the European Call and Put Options Cost of Innovative Projects
2020As part of the research, a method for assessing the cost of call and put options for innovative projects is suggested based on the stochastic model of Bass innovation. The resulting expressions can be used by investors to assess the value of the risk of funds loss associated with innovations.
A. V. Mantulenko +2 more
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A Simulation Model for Delta Hedging — European Call Options
2015Delta hedging as a concept is covered within Black—Scholes—Merton pricing at a theoretical level (single-step or two-step binomial trees); however the actual implementation of a live Delta hedging program requires a bit more work.
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European Call Option Pricing using the Adomian Decomposition Method
2021This article explores the Adomian decomposition method applied to the pricing of European call options in a risk-neutral world with an asset that pays and one that does not pay dividends...
Bohner, Martin +2 more
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Application of Monte Carlo Simulation in the Assessment of European Call Options
2013In this paper, the pricing of a European call option on the underlying asset is performed by using a Monte Carlo method, one of the powerful simulation methods, where the price development of the asset is simulated and value of the claim is computed in terms of an expected value. The proposed approach, applied in Monte Carlo simulation, is based on the
Shahbandarzadeh, Hamid +2 more
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On a Class of Equity Models for the Valuation of the European Call Options
International Journal of Mathematics Trends and Technology, 2015Fadugba Sunday Emmanuel +1 more
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