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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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Valuation of options on the maximum of two prices with default risk under GARCH models
The North American journal of economics and finance, 2021Xingchun Wang
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The Valuation of Options When Asset Returns Are Generated by a Binomial Process
, 1984This paper values options on assets whose returns, over a finite interval of time, are generated by a binomial process. It shows that a simple valuation relationship, between the option and the underlying stock, obtains if investors have preference ...
R. Stapleton, M. Subrahmanyam
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Options Framework and Valuation of Highway Infrastructure under Real and Financial Uncertainties
Journal of Infrastructure Systems, 2018This study builds and applies a framework that addresses the twin uncertainties of traffic flow and interest rates in build-operate-transfer (BOT) projects.
V. Vasudevan, P. Prakash, Biswajit Sahu
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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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High-accuracy finite-difference methods for the valuation of options
International Journal of Computational Mathematics, 2005A finite-difference scheme often employed for the valuation of options from the Black–Scholes equation is the Crank–Nicolson (CN) scheme. The CN scheme is second order in both time and asset.
M. Chawla, D. J. Evans
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2007 Winter Simulation Conference, 2007
Managerial flexibility has value. The ability of their managers to make smart decisions in the face of volatile market and technological conditions is essential for firms in any competitive industry. This advanced tutorial describes the use of Monte Carlo simulation and stochastic optimization for the valuation of real options that arise from the ...
John M. Charnes, Barry R. Cobb
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Managerial flexibility has value. The ability of their managers to make smart decisions in the face of volatile market and technological conditions is essential for firms in any competitive industry. This advanced tutorial describes the use of Monte Carlo simulation and stochastic optimization for the valuation of real options that arise from the ...
John M. Charnes, Barry R. Cobb
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Canonical valuation of options in the presence of stochastic volatility
, 2005Proposed by M. Stutzer (1996), canonical valuation is a new method for valuing derivative securities under the risk‐neutral framework. It is nonparametric, simple to apply, and, unlike many alternative approaches, does not require any option data ...
P. Gray, Scott Newman
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Closed form valuation of barrier options with stochastic barriers
Annals of Operations Research, 2021Tristan Guillaume
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On the option valuation and decomposition of exchange option
Journal of Applied Mathematics and Computing, 2002In this paper, we shall find the unique rational price associated with the exchange option. Also, we find the decomposition of Snell envelope and value function of the American exchange option.
Seung Chul Ahn, Won Choi
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