Results 11 to 20 of about 40,583 (252)
A Numerical Discussion for the European Put Option Model
Erzincan Üniversitesi Fen Bilimleri Enstitüsü Dergisi, 2021 The Black-Scholes equations have been increasingly popular over the last three decades since they provide more practical information for optional behaviours. Therefore, effective methods have been needed to analyze these models. This study will focus mainly on investigating the behavior of the Black-Scholes equation for the European put option pricing ...
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The American Put and European Options Near Expiry, Under Levy Processes [PDF]
SSRN Electronic Journal, 2004 We derive explicit formulas for time decay, for the European call and put options at expiry, and use them to calculate analytical approximations to the price of the American put and early exercise boundary near expiry. We show that for many families of non-Gaussian processes used in empirical studies of financial markets, the early exercise boundary ...
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Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method
Abstract and Applied Analysis, 2013 This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative.
Lina Song, Weiguo Wang
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PENENTUAN HARGA KONTRAK OPSI KOMODITAS EMAS MENGGUNAKAN METODE POHON BINOMIAL
E-Jurnal Matematika, 2017 Holding option contracts are considered as a new way to invest. In pricing the option contracts, an investor can apply the binomial tree method. The aim of this paper is to present how the European option contracts are calculated using binomial tree ...
I GEDE RENDIAWAN ADI BRATHA +2 more
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Comparison of Numerical Methods on Pricing of European Put Options
International Journal of Computing Science and Applied Mathematics, 2019 Put option is a contract to sell some underlying assets in the future with a certain price. On European put options, selling only can be exercised at maturity date. Behavior of European put options price can be modeled by using the Black-Scholes model which provide an analytical solution.
Lutfi Mardianto +4 more
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American put options with regime-switching volatility [PDF]
Seonmul yeonguWe present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the ...
Bong-Gyu Jang, Hyeng Keun Koo
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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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Explicit Pricing Formulas for European Option with Asset Exposed to Double Defaults Risk
Discrete Dynamics in Nature and Society, 2018 We derive analytical formulas for European call and put options on underlying assets that are exposed to double defaults risks which include exogenous counterparty default risk and endogenous default risk.
Taoshun He
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A robust numerical solution to a time-fractional Black–Scholes equation
Advances in Difference Equations, 2021 Dividend paying European stock options are modeled using a time-fractional Black–Scholes (tfBS) partial differential equation (PDE). The underlying fractional stochastic dynamics explored in this work are appropriate for capturing market fluctuations in ...
S. M. Nuugulu, F. Gideon, K. C. Patidar
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Progettazione, validazione ed implementazione di un modello reticolare avanzato per il pricing di un Flexible Forward su valute [PDF]
Risk Management Magazine, 2019 The purpose of this article is to illustrate the pricing model for Flexi-Forward contracts written on currencies through the use of an advanced lattice approach, called AMM – Adaptive Mesh Method. Flexi-Forward, also known as time-option forward contract,
Pier Giuseppe Giribone, Paolo Raviola
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