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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.
Seung Chul Ahn, Won Choi
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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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Various passport options and their valuation [PDF]
Applied Mathematical Finance, 1999 The passport option is a call option on the balance of a trading account. The option holder retains the gain from trading, while the writer is liable for the loss. Multi-asset passport options and passport options with discrete constraints are studied. For the first ones the pricing equations are Hamilton-Jacobi-Bellman equations.
H. Ahn, A. Penaud, P. Wilmott
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Valuation of options by using Excel
2015 38th International Convention on Information and Communication Technology, Electronics and Microelectronics (MIPRO), 2015Options represent the right to buy or to sell a specific number of underlying assets (stocks, indexes, commodities etc.) at a given price in a predetermined period of time. To analyze the value of options the Black and Scholes model will be presented and special spreadsheets will be developed using only “plain vanilla” Excel, i.e.
Zdenko Prohaska +2 more
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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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2023
We present a pricing model for fade option. A fade option can be more precisely named as “point-barrier option”. The fade option is a vanilla option that exists or dies if a barrier is breached on a single preset date, which is prior or equal to the contract maturity.
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We present a pricing model for fade option. A fade option can be more precisely named as “point-barrier option”. The fade option is a vanilla option that exists or dies if a barrier is breached on a single preset date, which is prior or equal to the contract maturity.
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2011
Publisher Summary This chapter introduces some common types of options and provides a step-bystep approach to valuing them. The methods introduced include closed-form models, partial-differential equations, and binomial lattices through the use of risk-neutral probabilities. The advantages and disadvantages of each method are discussed.
Morton Glantz, Johnathan Mun
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Publisher Summary This chapter introduces some common types of options and provides a step-bystep approach to valuing them. The methods introduced include closed-form models, partial-differential equations, and binomial lattices through the use of risk-neutral probabilities. The advantages and disadvantages of each method are discussed.
Morton Glantz, Johnathan Mun
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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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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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Financial Analysts Journal, 1977
HE May/June 1977 issue of Financial Analysts Journal presented a novel method for valuing options by using nomograms.' Nomograms allow one to obtain the value of any option, the position in the underlying stock that will neutralize the option's risk and the probability that it will pay to exercise the option at its maturityall without undertaking any ...
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HE May/June 1977 issue of Financial Analysts Journal presented a novel method for valuing options by using nomograms.' Nomograms allow one to obtain the value of any option, the position in the underlying stock that will neutralize the option's risk and the probability that it will pay to exercise the option at its maturityall without undertaking any ...
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