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Pricing European Style Equity Options
SSRN Electronic Journal, 2015The Black-Scholes option model created a revolution in finance. It was perceived that the model opened up a methodology to price option contracts. The methodology has been problematic as numerous empirical contradictions and anomalies have been noted.
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Regime Switching and European Options
2007The original publication is available at www.springerlink.com ; We consider a Black-Scholes market in which the underlying economy, as modelled by the parameters and volatility of the processes, switches between a finite number of states. The switching is modelled by a hidden Markov chain.
Buffington, J., Elliott, R.
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European experimental test vehicle options
Air & Space Europe, 2001Abstract During 1994–1998 ESA has conducted the Future European Space Transportation Investigation Programme (FESTIP). The present article gives a final overview at the end of the FESTIP study on the various designs of flight test vehicles investigated by the FESTIP team to validate design tools in the real environment and to demonstrate the maturity
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Binomial Model for European Options
2004A large range of options exist for which the boundary conditions of the Black- Scholes differential equation are too complex to solve analytically; an example being the American option. One therefore has to rely on numerical price computation. The best known methods for this is to approximate the stock price process by a discrete time stochastic ...
Jürgen Franke +2 more
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Fuzzy Binary Tree Model for European Options
2006The derivation of the risk neutral probabilities in a binary tree, in the presence of uncertainty on the underlying asset moves, boils down to the solution of dual fuzzy linear systems. The issue has previously been addressed and different solutions to the dual systems have been found.
MUZZIOLI, Silvia, H. REYNAERTS
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PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION
Probability in the Engineering and Informational Sciences, 2017In this paper, we present a new pricing model for vulnerable options, with time-varying variances for each asset described by Generalized Autoregressive Conditional Heteroscedasticity processes and correlated with the return of the asset. By connecting the underlying asset and the counterparty's assets through the market factor channel, the proposed ...
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Polycentric Urban Development - The European option
2002Item does not contain ...
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Research on European Option and Compound Option Pricing
Journal of Convergence Information Technology, 2012Congcong Xu -, Haiying Li -
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On reselling of European option
2009On Black and Scholes market investor buys a European call option. At each moment of time till the maturity, he is allowed to resell the option for the quoted market price. A model is proposed, under which there is no arbitrage possibility. It is shown that the optimal reselling problem is equivalent to constructing nonrandom two dimensional stopping ...
Kukush, A.G. +2 more
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