Results 11 to 20 of about 5,037,686 (305)
Valuation of European Style Compound Option Written on European Style Currency and Power Options
International Journal of Analysis and Applications, 2020 The aim of the paper is paper is twofold. Firstly, we will derive an explicit closed formula for pricing the compound call option contingent upon a currency call option.
Javed Hussain
doaj +4 more sources
EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS [PDF]
International Journal of Theoretical and Applied Finance, 2013 We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to trade. To isolate the impact of such liquidity constraints, we focus on the case where the market is completely static in the illiquid regime.
Michael Ludkovski, Qunying Shen
openaire +4 more sources
CoRR, 2014 Option contracts can be valued by using the Black-Scholes equation, a partial differential equation with initial conditions. An exact solution for European style options is known. The computation time and the error need to be minimized simultaneously. In this paper, the authors have solved the Black-Scholes equation by employing a reasonably accurate ...
B. U. Aishwarya +3 more
openaire +2 more sources
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
doaj +1 more source
Entropic Dynamics of Stocks and European Options [PDF]
Entropy, 2019 We develop an entropic framework to model the dynamics of stocks and European Options. Entropic inference is an inductive inference framework equipped with proper tools to handle situations where incomplete information is available. The objective of the paper is to lay down an alternative framework for modeling dynamics.
Mohammad Abedi, Daniel Bartolomeo
openaire +5 more sources
The importance of jumps in pricing European options [PDF]
Reliability Engineering & System Safety, 2006 Abstract The screening method proposed by Morris [Factorial sampling plans for preliminary computational experiments. Technometrics 1991;33:161–74] and recently improved by Campolongo et al. [Using an enhanced Morris method to assess the sensitivity of a large chemical reaction model.
Francesca Campolongo +2 more
openaire +2 more sources
Multiperiod static hedging of European options
The Journal of Computational Finance, 2023 We consider the hedging of European options when the price of the underlying asset follows a single-factor Markovian framework. By working in such a setting, Carr and Wu \cite{carr2014static} derived a spanning relation between a given option and a continuum of shorter-term options written on the same asset.
Banerjee, Purba +2 more
openaire +2 more sources
Bayesian Analysis of the Black-Scholes Option Price [PDF]
, 2004 This paper investigates the statistical properties of the Black-Scholes option price under a Bayesian approach. We incorporate randomness, both in the price process and in volatility, to derive the prior and posterior densities of a European call option.
core +2 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
doaj +1 more source
Stock Price Simulation Using Bootstrap and Monte Carlo
Scientific Annals of Economics and Business, 2017 In this paper, an attempt is made to assessment and comparison of bootstrap experiment and Monte Carlo experiment for stock price simulation. Since the stock price evolution in the future is extremely important for the investors, there is the attempt to ...
Pažický Martin
doaj +1 more source