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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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European Compound Options Written on Perpetual American Options
SSRN Electronic Journal, 2010It may seem counterintuitive, but valuing “perpetual” options, with infinite maturity, can be easier than pricing those that expire at a fixed date. At least Samuelson found it so in 1965. In this article, Barone extends the valuation models for perpetual options to cover American calls and puts on dividend-paying stocks, and European options written ...
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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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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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Global crisis—European options
World Futures, 1989Abstract The current decline of superpower hegemony, which is seen as a crucial component in the so‐called global crisis, makes it pertinent again to raise the issue of regionalization as a possible path towards a more stable world order. This process contains two dimensions: hegemonic decline creating a room‐for‐maneuver for various world regions, and
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Static Replication of European Standard Dispersion Options
SSRN Electronic Journal, 2020The replication of any European contingent claim by a static portfolio of calls and puts with strikes forming a continuum, formally proven by Carr and Madan (1998), extends to "standard dispersion" options written on the Euclidean norm of a vector of n asset performances.
Sébastien Bossu +2 more
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European Options in Continuous Time
1999In this chapter we develop a continuous time theory which is the analogue of that in Chapters 1 to 3. The simple model consists of a riskless bond and a risky asset, which can be thought of as a stock. The dynamics of our model are described in Section 7.1.
Robert J. Elliott, P. Ekkehard Kopp
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European Options in BS Markets
2013In the last chapters, we explained various methods to solve partial differential equations. These methods are now applied to obtain the price of a European option. We assume that the stock price follows a geometric Brownian motion and show that the option price satisfies a parabolic PDE.
Norbert Hilber +3 more
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Delta Hedging European Put Options
2015Previously we built a simple model in Excel that simulated an underlying price series and a step-by-step trace of a dynamic Delta hedging simulation model for a call option. Now we will modify and extend the model for a European put option. The basic approach remains the same, but a simple modification is required to make the sheet work for a European ...
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2020
In this chapter we first give a brief account of stochastic differential equations governing risky asset/stock dynamics and Ito lemma to be used for deducing the mathematical model of pricing European options on one asset. We then derive the Black–Scholes (BS) equation using the ideal of \(\varDelta \)-hedging and It\(\hat{\mathrm {o}}\)’s lemma.
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In this chapter we first give a brief account of stochastic differential equations governing risky asset/stock dynamics and Ito lemma to be used for deducing the mathematical model of pricing European options on one asset. We then derive the Black–Scholes (BS) equation using the ideal of \(\varDelta \)-hedging and It\(\hat{\mathrm {o}}\)’s lemma.
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