Results 11 to 20 of about 1,937,997 (308)
The Role of the Volatility in the Option Market
AppliedMath, 2023 We review some general aspects about the Black–Scholes equation, which is used for predicting the fair price of an option inside the stock market. Our analysis includes the symmetry properties of the equation and its solutions.
Ivan Arraut, Ka-I Lei
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Pricing complexity options [PDF]
Algorithmic Finance, 2015 We consider options that pay the complexity deficiency of a sequence of up and down ticks of a stock upon exercise. We study the price of European and American versions of this option numerically for automatic complexity, and theoretically for Kolmogorov complexity. We also consider run complexity, which is a restricted form of automatic complexity.
Malihe Alikhani +3 more
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Bayesian Analysis of the Black-Scholes Option Price [PDF]
, 2004 This paper investigates the statistical properties of the Black-Scholes option price under a Bayesian approach. We incorporate randomness, both in the price process and in volatility, to derive the prior and posterior densities of a European call option.
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Sensitivity of option contracts
Business: Theory and Practice, 2013 There are plenty of reasons why investors use option contracts in their portfolios. The main reason for using such contracts or their strategies is to hedge against risk concerned with the uncertainty of underlying asset price movements.
Raimonda Martinkute-Kauliene
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PENENTUAN KONTRAK OPSI TIPE EROPA MENGGUNAKAN MODEL SIMULASI VARIANCE GAMMA (VG)
E-Jurnal Matematika, 2023 Options are used as a hedge against stock price uncertainty brought on by unstable stock prices fluctuation. The price of an option contract can be determined using a variety of approaches, one of which is the Variance Gamma. The purpose of this study is
NI KADEK LANI PITRAYANI +2 more
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Proceedings of the 8th Workshop on High Performance Computational Finance, 2015 In this paper, we explore the possible approaches to harness extra computing power from commodity hardware to speedup pricing calculation of individual options. Specifically, we leverage two parallel computing platforms: Open Computing Language (OpenCL) and Compute United Device Architecture (CUDA).
Simon Suo +3 more
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Frontiers of Mathematical Finance, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Carr, Peter, Cherubini, Umberto
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BALANCED MODEL OF EXCHANGE OPTION PRICE
Вестник Российского экономического университета имени Г. В. Плеханова, 2017 The article suggests a new approach to finding a theoretical price (value) of exchange option. In contrast to Black-Shows and binominal models the balanced model is deduced from balanced interests of both parties of economic relation. For short-term time
Vladimir A. Galanov
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The Paradoxical Prices of Options
Review of Pacific Basin Financial Markets and Policies, 2022 The synchronized relationship between financial and fundamental prices has been topical for years now. It seems that option pricing theory has not been used to disentangle that relationship between two prices during merger and acquisition (M&A) activities.
Gianluca Marcato, Tumellano Sebehela
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Valuing options to renew at future market value: the case of commercial property leases
Financial Innovation, 2023 In this study, we develop and empirically test a valuation model for a commonly encountered option in office leases: a tenant’s option to renew at future market rent (a fair market value) with lease termination as the maturity date.
Jenny Jing Wang +2 more
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