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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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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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Long Memory Options: Valuation [PDF]
SSRN Electronic Journal, 2005 This paper demonstrates the impact of the observed financial market persistence or long term memory on European option valuation. Many empirical researchers have observed non-Fickian degrees of persistence or long memory in the financial markets different from the Fickian neutral independence (i.i.d.) of the returns innovations assumption of Black ...
SUTTHISIT JAMDEE, CORNELIS A. LOS
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The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk
, 2017This study presents a pricing model for power exchange options, in which the possibility of default by the risky counterparty as well as the arrival of important business information are taken into consideration.
Xingchun Wang, Shiyu Song, Yongjin 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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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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