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2021
A quanto option is an option whose payout is made in a currency other than that of the underlying security, based on a fixed exchange rate. The term "quanto" is abbreviation for "quantity adjusted" that refers to the feature where the payoff of an option is determined by the financial price of index in one currency but the actual payout if realized in ...
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A quanto option is an option whose payout is made in a currency other than that of the underlying security, based on a fixed exchange rate. The term "quanto" is abbreviation for "quantity adjusted" that refers to the feature where the payoff of an option is determined by the financial price of index in one currency but the actual payout if realized in ...
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On the Valuation of Asian Options by Variational Methods
SIAM Journal on Scientific Computing, 2003The author considers the valuation of Asian options by variational methods. The value function satisfies an ultraparabolic variational inequality. An implicit finite element approximation is developed. For two specific examples numerical experiments are provided.
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, 2005 This paper deals with the option-pricing problem. In the first part of the paper we study in details the discrete setting of the option-pricing problem usually referred to as the binomial scheme. We highlight basic differences between the old and the new approaches.
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2021
A binary option is an option with a predetermined payoff, triggered only if the underlying price meets the strike price. These are also commonly referred to as "all or nothing" or "digital options". Binary call pays a fixed amount if the underlying price ends up above the strike price, while binary put pays off a fixed amount if the underlying price is
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A binary option is an option with a predetermined payoff, triggered only if the underlying price meets the strike price. These are also commonly referred to as "all or nothing" or "digital options". Binary call pays a fixed amount if the underlying price ends up above the strike price, while binary put pays off a fixed amount if the underlying price is
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The valuation of options on yields
Journal of Financial Economics, 1990Abstract Many contingent claims incorporate options on yield levels. I derive closed-form expressions for European yield-option prices using a general equilibrium model in which the underlying yield is the relevant state variable. The properties of these options differ markedly from those of conventional options on traded assets.
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Financial Analysts Journal, 1982
(1982). The Valuation of GNMA Options. Financial Analysts Journal: Vol. 38, No. 5, pp. 66-76.
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(1982). The Valuation of GNMA Options. Financial Analysts Journal: Vol. 38, No. 5, pp. 66-76.
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2021
A spread option is an option written on the difference of two underling assets, whose values at time t we denote by S1(t) and S2(t). We consider only options of the European type for which the buyer has the right to be paid, at the maturity date T, the difference S2(T)−S1(T), known as the spread. To exercise the option, the buyer must pay at maturity a
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A spread option is an option written on the difference of two underling assets, whose values at time t we denote by S1(t) and S2(t). We consider only options of the European type for which the buyer has the right to be paid, at the maturity date T, the difference S2(T)−S1(T), known as the spread. To exercise the option, the buyer must pay at maturity a
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2021
A basket option can be used to hedge the risk exposure to or speculate the market move on the underlying stock basket. Because it involves just one transaction, a basket option often costs less than multiple single options. The most important feature of a basket option is its ability to efficiently hedge risk on multiple assets at the same time. Rather
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A basket option can be used to hedge the risk exposure to or speculate the market move on the underlying stock basket. Because it involves just one transaction, a basket option often costs less than multiple single options. The most important feature of a basket option is its ability to efficiently hedge risk on multiple assets at the same time. Rather
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