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2013
We discussed in Chapter 2 that an option gives the buyer a particular right which can lead to financial upsides in the future, without including any obligations. Hence, there must be a positive price for obtaining this right, and we will now aim to determine this price.
Hansjoerg Albrecher +3 more
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We discussed in Chapter 2 that an option gives the buyer a particular right which can lead to financial upsides in the future, without including any obligations. Hence, there must be a positive price for obtaining this right, and we will now aim to determine this price.
Hansjoerg Albrecher +3 more
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European Option Pricing with Transaction Costs
SIAM Journal on Control and Optimization, 1993This paper treats the problem of pricing European options in a Black-Scholes model with proportional costs on stock transactions. The authors define the option writing price as the difference between the utilities achievable by going into the market to hedge the option and by going into the market on one's own account.
Davis, Mark H. A. +2 more
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Price Matching for Multiple Rescindable Options and European Options
SSRN Electronic Journal, 2007We study a modification of an American option such that the option holder can exercise the option early before the expiration, and he or she can revert later this decision to exercise a number of times. This feature gives additional flexibility and risk protection for the option holder.
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Replication Scheme for the Pricing of European Options
SSRN Electronic Journal, 2019This paper proposes an efficient method for calculating European option prices under local, stochastic, and fractional volatility models. Instead of directly calculating the density function of a target underlying asset, we replicate it from a simpler diffusion process with a known analytical solution for the European option.
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On some equations about European option pricing*
2022Proceedings of the 18th IFIP Conference on Systems Modeling and Optimization, (Detroit, MI, 1997) Addison Wesley Longman, Research notes in Mathematics.
F. COLOMBO, R. MONTE, VESPRI, VINCENZO
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Options and earnings announcements: an empirical study for the European Options Exchange
Statistica Neerlandica, 1996In this paper we give an introduction in option pricing theory and explicitly specify the Black‐Scholes model. Although market participants use this and similar models to price options, they violate one of the fundamental assumptions of the model. They do not set a constant value for the volatility of the underlying asset over time, but change the ...
Donders, M.W.M., Vorst, A. C F
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Technologies for teracomputing: A European option
1998A hardware and software environment with performance above 1 Teraflops (teracomputing) is presently required to face the leading computational challenges not only in fundamental sciences, but also in an increasing number of fields related to applied sciences and engineering.
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European and American options: The semi-Markov case
Physica A: Statistical Mechanics and its Applications, 2009Abstract In this paper, we assume that the log return of the underlying asset follows a semi-Markov process, then from the knowledge of the kernel we derive an explicit expression for the value of the option and for the bare risk in the case of the European call (put) option and, by means of a recursive system, we derive the value and the bare risk ...
Guglielmo D'Amico +2 more
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A Behavioural Approach to the Pricing of European Options
2014Empirical studies on quoted options highlight deviations from the theoretical model of Black and Scholes; this is due to different causes, such as assumptions regarding the price dynamics, markets frictions and investors’ attitude toward risk. In this contribution, we focus on this latter issue and study how to value options within the continuous ...
NARDON, Martina, PIANCA, Paolo
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The valuation of European options in uncertain environment
European Journal of Operational Research, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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