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Valuation of European options with stochastic interest rates and transaction costs
International Journal of Computational Mathematics, 2021The celebrated Black–Scholes model is well known for its elegant pricing formula for European options. However, like many other models, the Black–Scholes model is not perfect, which is largely due to the fact that assumptions in the model are idealized ...
Jiling Cao, Biyuan Wang, Wenjun Zhang
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Analytical valuation of Asian options with counterparty risk under stochastic volatility models
Journal of futures markets, 2020In this paper, we consider Asian options with counterparty risk under stochastic volatility models. We propose a simple way to construct stochastic volatility models through the market factor channel.
Xingchun Wang
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Valuation of VIX and Target Volatility Options with Affine GARCH Models
Journal of futures markets, 2020In this paper we propose semi-closed-form solutions, subject to an inversion of the Fourier transform, for the price of VIX options and target volatility options (TVOs) under affine GARCH models based on Gaussian and Inverse Gaussian distributions.
Hongkai Cao +3 more
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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.
Olgić Draženović, Bojana +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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International Journal of Computational Mathematics, 2019
A finite volume–alternating direction implicit method is proposed for numerical valuation of the American options under the Heston model. It is based on decoupling correlated stock price process and volatility process so that corresponding partial ...
Jiachen Cai, Hongtao Yang
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A finite volume–alternating direction implicit method is proposed for numerical valuation of the American options under the Heston model. It is based on decoupling correlated stock price process and volatility process so that corresponding partial ...
Jiachen Cai, Hongtao Yang
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Japan journal of industrial and applied mathematics, 2021
When solving the American options with or without dividends, numerical methods often obtain lower convergence rates if further treatment is not implemented even using high-order schemes.
Chinonso Nwankwo, W. Dai
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When solving the American options with or without dividends, numerical methods often obtain lower convergence rates if further treatment is not implemented even using high-order schemes.
Chinonso Nwankwo, W. Dai
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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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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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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.
openaire +1 more source