Skewed Normal Distribution Of Return Assets In Call European Option Pricing
Kreano: Jurnal Matematika Kreatif-Inovatif, 2011 Option is one of security derivates. In financial market, option is a contract that gives a right (notthe obligation) for its owner to buy or sell a particular asset for a certain price at a certain time.Option can give a guarantee for a risk that can be
Evy Sulistianingsih
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Numerical simulation of a Finite Moment Log Stable model for a European call option [PDF]
Numerical Algorithms, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hongmei Zhang 0004 +4 more
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On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound Option
International Journal of Analysis and Applications, 2020 The fundamental objective of this paper is twofold. Firstly, to derive the Cox-Ross-Rubinstein type new formula for risk neutral pricing of European compound call option, where the underlying asset is also a European call option.
Javed Hussain, Bareerah Khan
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European Option Pricing under Sub-Fractional Brownian Motion Regime in Discrete Time
Fractal and Fractional, 2023 In this paper, the approximate stationarity of the second-order moment increments of the sub-fractional Brownian motion is given. Based on this, the pricing model for European options under the sub-fractional Brownian regime in discrete time is ...
Zhidong Guo, Yang Liu, Linsong Dai
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Pricing of European call option under fuzzy interest rate
Journal of Industrial and Management Optimization, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
You, Cuilian, Bo, Le
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Semi-Analytical Option Pricing Under Double Heston Jump-Diffusion Hybrid Model
Journal of Mathematical Sciences and Modelling, 2018 We examine European call options in the jump-diffusion version of the Double Heston stochastic volatility model for the underlying price process to provide a more flexible model for the term structure of volatility.
Rehez Ahlip +2 more
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An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market [PDF]
, 2005 Includes bibliographical references.The assumption of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset.
Chen, Hung-Hsiang
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Explicit Pricing Formulas for European Option with Asset Exposed to Double Defaults Risk
Discrete Dynamics in Nature and Society, 2018 We derive analytical formulas for European call and put options on underlying assets that are exposed to double defaults risks which include exogenous counterparty default risk and endogenous default risk.
Taoshun He
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Modern Stochastics: Theory and Applications, 2014 European call option issued on a bond governed by a modified geometric Ornstein-Uhlenbeck process, is investigated. Objective price of such option as a function of the mean and the variance of a geometric Ornstein-Uhlenbeck process is studied.
Yu. Mishura, G. Rizhniak, V. Zubchenko
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PENENTUAN HARGA KONTRAK OPSI KOMODITAS EMAS MENGGUNAKAN METODE POHON BINOMIAL
E-Jurnal Matematika, 2017 Holding option contracts are considered as a new way to invest. In pricing the option contracts, an investor can apply the binomial tree method. The aim of this paper is to present how the European option contracts are calculated using binomial tree ...
I GEDE RENDIAWAN ADI BRATHA +2 more
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