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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 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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, 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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The Journal of Derivatives, 2003
The binomial model is a simple and straightforward way to price simple and straightforward options, like plain vanilla calls and puts, even with American exercise. But path-dependent contracts, such as lookback options, present problems for the binomial because of the need to keep track of a path statistic, in this case, the highest or lowest price ...
Seungmook Choi, Mel Jameson
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The binomial model is a simple and straightforward way to price simple and straightforward options, like plain vanilla calls and puts, even with American exercise. But path-dependent contracts, such as lookback options, present problems for the binomial because of the need to keep track of a path statistic, in this case, the highest or lowest price ...
Seungmook Choi, Mel Jameson
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Closed form valuation of barrier options with stochastic barriers
Annals of Operations Research, 2021Tristan Guillaume
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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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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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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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Analytical valuation of vulnerable European and Asian options in intensity-based models
Journal of Computational and Applied Mathematics, 2021Xingchun Wang
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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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