Results 41 to 50 of about 1,754,337 (200)
On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints [PDF]
, 2015 We consider the fundamental theorem of asset pricing (FTAP) and hedging prices of options under non-dominated model uncertainty and portfolio constrains in discrete time.
Bayraktar, Erhan, Zhou, Zhou
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Determining European Options Values through Crank-Nicolson Method [PDF]
Informatică economică, 2006 Options are nowadays transacted within a lot of stock exchanges worldwide. The problem of options gets a special importance due to the fact that many of the managerial decisions can be assimilated to options.
Sorin MANOLE, Ion LUNGU
doaj
Results in Applied Mathematics, 2022 The Black–Scholes differential operator which underlies the option pricing of European and American options is known to be degenerate close to the boundary at zero.
David Sena Attipoe, Antoine Tambue
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Option pricing models without probability: a rough paths approach [PDF]
, 2020 We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of European ...
Armstrong, John +3 more
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Technical Assessments of Future European Space Transportation Options [PDF]
, 2007 The paper describes some of the most recent activities in Germany in the technical assessment of future European launcher architecture. In focus is a joint effort of DLR-SART with German launcher industry in the definition of a next generation upper ...
Dutheil, Jean-Philippe +3 more
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Pricing and hedging of arithmetic Asian options via the Edgeworth series expansion approach
Journal of Finance and Data Science, 2016 In this paper, we derive a pricing formula for arithmetic Asian options by using the Edgeworth series expansion. Our pricing formula consists of a Black-Scholes-Merton type formula and a finite sum with the estimation of the remainder term.
Weiping Li, Su Chen
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Pricing Vulnerable Options in a Mixed Fractional Brownian Motion with Jumps
Discrete Dynamics in Nature and Society, 2021 A new framework for pricing European vulnerable options is developed in the case where the underlying stock price and firm value follow the mixed fractional Brownian motion with jumps, respectively.
Panhong Cheng, Zhihong Xu
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Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
, 2009 The distribution of the returns for a stock are not well described by a normal probability density function (pdf). Student's t-distributions, which have fat tails, are known to fit the distributions of the returns.
Bakshi +24 more
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Asians and cash dividends: Exploiting symmetries in pricing theory [PDF]
, 2000 In this article we present new results for the pricing of arithmetic Asian options within a Black-Scholes context. To derive these results we make extensive use of the local scale invariance that exists in the theory of contingent claim pricing.
Hoogland, Jiri, Neumann, Dimitri
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Comparing the levelized cost of electric vehicle charging options in Europe
Nature Communications, 2022 Charging costs are important for the diffusion of electric vehicles as required to decarbonize transport. Here, the authors show large variance of electrical vehicle charging costs across 30 European countries and charging options, suggesting different ...
Lukas Lanz +3 more
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