Results 21 to 30 of about 1,937,997 (308)
Heterogeneity and Option Pricing [PDF]
Review of Derivatives Research, 1997 An economy with agents having constant yet heterogeneous degrees of relative risk aversion prices assets as though there were a single decreasing relative risk aversion pricing representative agent. The pricing kernel has fat tails and option prices do not conform to the Black-Scholes formula. Implied volatility exhibits a smile.
Benninga, Simon, Mayshar, Joram
openaire +5 more sources
Option pricing on sesame price using jump diffusion models [PDF]
International Journal of Research in Industrial Engineering, 2020 In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian sesame price fluctuations. The White Humera Gondar Sesame Grade 3 (WHGS3) price, which is recorded from 5 November 2010 to 30 March 2018 at ...
T. Berhane +3 more
doaj +1 more source
E-Jurnal Matematika, 2018 Barrier option is an option where the payoff price depends on whether or not the stock price passes the barrier during its life time. The aim of the research is to compare the convergence between conditional Monte Carlo and antithetic variate methods in
NI LUH PUTU KARTIKA WATI +2 more
doaj +1 more source
PRICING ASIAN OPTIONS WITH CORRELATORS [PDF]
International Journal of Theoretical and Applied Finance, 2021 We derive a series expansion by Hermite polynomials for the price of an arithmetic Asian option. This requires the computation of moments and correlators of the underlying asset price which for a polynomial jump–diffusion process are given analytically; hence, no numerical simulation is required to evaluate the series. This allows to derive analytical
openaire +5 more sources
PENENTUAN HARGA OPSI BELI TIPE ASIA DENGAN METODE MONTE CARLO-CONTROL VARIATE
E-Jurnal Matematika, 2017 Option is a contract between the writer and the holder which entitles the holder to buy or sell an underlying asset at the maturity date for a specified price known as an exercise price.
NI NYOMAN AYU ARTANADI +2 more
doaj +1 more source
Asian Option Pricing Based on the Standardized Logarithm of Geometric Average [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2015 An Asian option (or average value option) is a special type of option contract. Its payoff is determined by the average underlying price over some pre-set period of time. Asian option is hard to price analytically and numerically.
Abdolrahim Badamchizadeh, Narges Heydari
doaj +1 more source
A Real Option Pricing Decision of Construction Project under Group Bidding Environment
Applied Sciences, 2023 The bidding price is one of the important factors for construction enterprises in winning a bid. In the context of public bidding in the construction industry, in the process of group competition, how to estimate the individual bids to calculate their ...
Mengkai Liu, Chenwei Zhu
doaj +1 more source
CoRR, 2021 This research investigates pricing financial options based on the traditional martingale theory of arbitrage pricing applied to neural SDEs. We treat neural SDEs as universal Itô process approximators. In this way we can lift all assumptions on the form of the underlying price process, and compute theoretical option prices numerically.
openaire +2 more sources
Martingale option pricing [PDF]
Physica A: Statistical Mechanics and its Applications, 2007 We show that our generalization of the Black-Scholes partial differential equation (pde) for nontrivial diffusion coefficients is equivalent to a Martingale in the risk neutral discounted stock price. Previously, this was proven for the case of the Gaussian logarithmic returns model by Harrison and Kreps, but we prove it for much a much larger class of
J. L. McCauley +2 more
openaire +3 more sources
Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints
Journal of Inequalities and Applications, 2016 We propose an efficient method for the construction of an arbitrage-free call option price function from observed call price quotes. The no-arbitrage theory of option pricing places various shape constraints on the option price function.
Arindam Kundu +3 more
doaj +1 more source