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Valuation Bounds of Tranche Options [PDF]
SSRN Electronic Journal, 2010 19 pages, 9 ...
Yadong Li, Ariye Shater
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The Valuation of Volatility Options [PDF]
Review of Finance, 2000 Abstract This paper examines the valuation of European- and American-style volatility options based on a general equilibrium stochastic volatility framework. Properties of the optimal exercise region and of the option price are provided when volatility follows a general diffusion process.
Detemple, Jérôme, Osakwe, Carlton
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Valuation of Capital Protection Options [PDF]
SSRN Electronic Journal, 2015 This working paper formed part of a larger published paper P.V. Shevchenko and X. Luo (2016). A unified pricing of variable annuity guarantees under the optimal stochastic control framework.
Xiaolin Luo, Pavel V. Shevchenko
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International Journal of Environmental Research and Public Health, 2021 Aquaculture is an increasingly relevant sector in the exploitation of natural resources; therefore, it is appropriate to propose various models that include the fundamental variables for its economic-financial valuation from a business point of view. The
Raisa Pérez-Vas +2 more
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Valuation of guaranteed annuity conversion options [PDF]
Insurance: Mathematics and Economics, 2003 The authors study unit-linked deferred annuity contracts purchased originally by a single premium. They introduce a theoretical model for the pricing and valuation of guaranteed annuity conversion options associated with certain deferred annuity pension-type contracts in UK.
Ballotta, L., Haberman, S.
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RBF approximation by partition of unity for valuation of options under exponential Lévy processes
Journal of Computer Science, 2019 The prices of European and American-style contracts on assets driven by Markov processes satisfy partial integro-differential equations (PIDEs). In particular, this holds true for assets driven by Levy processes, which are very popular in mathematical ...
Ali Fereshtian +2 more
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Valuation of American Continuous-Installment Options [PDF]
Computational Economics, 2005 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Pierangelo Ciurlia, Ilir Roko
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Analytic valuation of European continuous-installment barrier options
Journal of Computational and Applied Mathematics, 2020 This study examines the valuation of European continuous-installment barrier options with dividend payments, under the classical Black–Scholes model. By using Mellin transform techniques, we derive the analytic integral solutions of European continuous ...
Junkee Jeon, S. Choi, Ji‐Hun Yoon
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, 2021 A rainbow option is an option on a basket that pays a non-equally weighted sum of returns over all assets in the basket according to their performance, where individual asset returns are computed as the percentage growth from initial levels to final levels that may be averages over multiple dates.
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The Pricing of Options and Corporate Liabilities
Journal of Political Economy, 1973 If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks.
F. Black, Myron S. Scholes
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