Results 261 to 270 of about 22,046 (316)
Seasonality and the valuation of commodity options [PDF]
Journal of Banking & Finance, 2011 Price movements in many commodity markets exhibit significant seasonal patterns. In this paper, we study the effects of seasonal volatility on models' option pricing performance. In terms of options pricing, a deterministic seasonal component at the price level can be neglected.
Janis Back +2 more
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Approximate valuation of average options
Annals of Operations Research, 1993zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hideki Iwaki +2 more
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Noncommutative Valuation of Options
Reports on Mathematical Physics, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The Valuation of Options on Futures Contracts
The Journal of Finance, 1985ABSTRACTRational restrictions are derived for the values of American options on futures contracts. For these options, the optimal policy, in general, involves premature exercise. A model is developed for valuing options on futures contracts in a constant interest rate setting.
Ramaswamy, Krishna, Sundaresan, Suresh M
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A Note on the Valuation of American Option
Journal of Partial Differential Equations, 2003It is well known that the pricing problem of an American option can be reduced to an optimal stopping problem using probability and then a free boundary value problem of a parabolic partial differential equation. In this paper, the authors use a PDE approach to show that the pricing problem of an American put option is equivalent to a free boundary ...
Bian, Baojun, Jiang, Lishang
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Real Option Valuation with Neural Networks
International Journal of Intelligent Systems in Accounting, Finance & Management, 1998We propose to use neural networks to value options when analytical solutions do not exist. The basic idea of this approach is to approximate the value function of a dynamic program by a neural net, where the selection of the network weights is done via simulated annealing.
Taudes, Alfred +2 more
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On the option valuation and decomposition of exchange option
Journal of Applied Mathematics and Computing, 2002The authors consider the model for financial market, in which \(n+1\) assets are traded. The price \(S_{t}^0\) of the first of these assets evolves according to the equation \(dS_{t}^0=rS_{t}^0dt,\;S_{0}^0=1,\) where \(r\) is the riskless interest rate.
Choi, Won, Ahn, Seung Chul
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AUCTIONS, REAL OPTIONS VALUATION, AND PRIVATIZATION [PDF]
International Game Theory Review, 2011 This article studies competitive bidding by strategic investors to buy enterprises that are being privatized through sealed-bid auctions. The bidders use a real options approach to enterprise valuation that accounts for asset quality given their private information.
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The Analytic Valuation of American Options
Review of Financial Studies, 1990No analytic solutions exists for the valuation of American options written on futures contracts and foreign currencies for which early exercise may be optimal. This article formulates the American option valuation problem in economically and mathematically meaningful ways. This enables us to derive valuation formulas for American options.
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The Valuation of Currency Options
Financial Management, 1983extended with its underlying assumptions being relaxed. The model has also found many applications in finance. Smith [6] provides a good overall review of the subject. Options on a foreign currency can be defined in the same way as options on a stock. For example, a European call option on a foreign currency is an option to buy one unit of the currency
Nahum Biger, John Hull
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