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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.
F. Longstaff
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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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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 +3 more
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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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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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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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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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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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