Results 21 to 30 of about 40,583 (252)
Partial hedging in credit markets with structured derivatives: a quantitative approach using put options [PDF]
Seonmul yeonguThis study develops a novel method for mitigating credit risk through the use of structured derivatives, focusing in particular on the use of European put options as a strategic hedging tool. Inspired by the work of Merton (1974), our approach introduces
Constantin Siggelkow
doaj +1 more source
Pricing European and American Installment Options
Mathematics, 2022 This paper derives accurate and efficient analytic approximations for the prices of both European and American continuous-installment call and put options.
Joanna Goard, Mohammed AbaOud
doaj +1 more source
Bayesian Inference for Optimal Risk Hedging Strategy Using Put Options With Stock Liquidity
IEEE Access, 2019 This paper considers the problem of hedging the risk exposure to imperfectly liquid stock by investing in put options. In an incomplete market, we firstly obtain a closed-form pricing formula of the European put option with liquidity-adjustment by ...
Rui Gao +3 more
doaj +1 more source
Risks, 2015 In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black–Scholes models.
Lingjiong Zhu
doaj +1 more source
Eurasian Journal of Mathematical and Computer Applications, 2023 The main goal of this paper is to propose an alternative approach based on the celebrated transform of Mellin type (MT) for solving a European Power Put Option Model (EPPOM) in the sense of Modified-Log-Power Payoff Function (MLPPF) under the geometric Brownian motion.
null Fadugba, null Ghevariya
openaire +1 more source
Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
Computation, 2023 This paper studies the portfolio selection problem where tradable assets are a bank account, and standard put and call options are written on the S&P 500 index in incomplete markets in which there exist bid–ask spreads and finite liquidity.
Pornnapat Yamphram +2 more
doaj +1 more source
Pricing European Put Option in a Geometric Brownian Motion Stochastic Volatility Model [PDF]
Applied and Computational Mathematics, 2017 Stochastic volatility models were introduced because option prices have been mis-priced using Black-Scholes model. In this work, focus is made on pricing European put option in a Geometric Brownian Motion (GBM) stochastic volatility model with uncorrelated stock and volatility.
openaire +1 more source
Development of high-frequency volatility estimators in pricing and trading stock options
π-Economy, 2022 Asset return volatility plays a key role in derivative pricing and hedging, risk management and portfolio allocation decisions. This study examined the economic benefit of high-frequency volatility estimators (measures realized) in option pricing and ...
Gayomey John, Zaytsev Andrey
doaj +1 more source
VALUATION OF EUROPEAN PUT OPTION BY USING THE QUADRATURE METHOD UNDER THE VARIANCE GAMMA PROCESS
International Journal of Engineering Science Technologies, 2020 Dynamic asset pricing model uses the Geometric Brownian Motion process. The Black-Scholes model known as standard model to price European option based on the assumption that underlying asset prices dynamic follows that log returns of asset is normally distributed.
Akash Singh, Ravi Gor Gor, Rinku Patel
openaire +2 more sources
Journal of Physics: Conference Series, 2021 Abstract This paper examines the price of European put options with underlying asset zero-coupon bond and the interest rate that satisfied the Vasicek model with jump. The study was conducted by reconstructing the European put option pricing equation. The jump size is defined following a mixed-exponential distribution.
P C Lukman, B D Handari, H Tasman
openaire +1 more source