Results 1 to 10 of about 30,833 (292)
Relativistic Option Pricing [PDF]
International Journal of Financial Studies, 2021 The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under certain
Vitor H. Carvalho, Raquel M. Gaspar
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Economics and Business Review, 2020 In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset?
Bieta Volker, Broll Udo, Siebe Wilfried
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The Pricing of the American Option [PDF]
The Annals of Applied Probability, 1992 The author gives a survey on the valuation problem for American options based on a risky asset which is modelled as a geometric Brownian motion. The fact that American options --- by definition --- can be exercised at any time up to a fixed maturity \(T\) makes the pricing problem more difficult than that for European options.
Ravi Myneni
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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
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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
Gemunu H. Gunaratne +3 more
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Option Pricing using Quantum Computers [PDF]
Quantum, 2020 We present a methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods.
Nikitas Stamatopoulos +6 more
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Fractal and Fractional, 2022 The Black–Scholes option pricing model is one of the most significant achievements in modern investment science. However, many factors are constantly fluctuating in the actual financial market option pricing, such as risk-free interest rate, stock price,
Jianke Zhang, Yueyue Wang, Sumei Zhang
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Approximate Option Pricing [PDF]
Algorithmica, 1999 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Isaac Saias +2 more
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On the range of options prices [PDF]
Finance and Stochastics, 1997 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Eberlein, Ernst, Jacod, Jean
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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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