A more general approach to option pricing
Volatility and Option Pricing
... Throughout 2009, issues have been raised in the marketplace regarding the suitability of leveraged ETFs for long-term investors seeking to replicate a multiple 1 The description of the hedging mechanism given here is not ...
88
Option Pricing: A Simplified Approach
... a more general ...be more complicated, since then the terminal stock price will be affected by the timing of the upward moves as well as their total ...
34
General closed-form basket option pricing bounds
... the approach of Hurd and Zhou (2010), Lord et ...for pricing basket options written on an high number of underlying assets, in particular when the model characteristic function valuation is computationally ...
34
Option pricing with a direct adaptive sparse grid approach
... put option (left) and a three-dimensional put option (right) using regular sparse grids of different levels and adaptively refined grids obtained with the standard and the weighted adaptive refinement ...
10
A Simple Approach to CAPM, Option Pricing and Asset Valuation
... risk-neutral pricing formula is easily derived, showing the equivalence between CAPM and the Black and Scholes’ ...different, more rigorous way, as a result of a classical intertemporal general ...
14
A Copula-based Approach to Option Pricing and Risk Assessment
... a general framework to measure tail dependence of asset returns and, hence, to assess more accurately the risk of a ...copula approach, the variation of the portfolio can be measured ...copula ...
29
Pricing Reservations: A General Equilibrium Approach
... hoteliers more accurate prediction of future ...this approach is ...future option with regard to a room, but only the guest knows the likelihood that the room will actually be ...
24
A New Adaptive Mesh Approach for Pricing the American Put Option
... type option, convergence of price is ensured very easily from weak conver- gence of the ...are more complicated for the American put option, because in general convergence of maximum over ...
41
An Option Pricing Approach to Stress-testing the Canadian Mortgage Portfolio.
... In what follows, we will compare our estimated overall default rate with actual default rates. For several reasons, the simulated default rates will di¤er from the observed rates. For example, we consider only …xed-rate ...
27
On an Alternative Approach to Pricing General Barrier Options
... alternative approach to pricing barrier options is presented that relies on the use of the first hitting time density to the ...determine option prices. It turns out that this approach allows ...
34
LOAN PRICING: AN OPTION PRICING MODEL APPROACH
... This conceptual framework, in contrast to the pre- vious one, views the overdraft as essentially a funding problem from the perspective of the institution providing t[r] ...
9
American Option Pricing: A Simulated Approach
... unknown. Using past data and current market conditions can lead to an educated guess; however; it is still a guess. The closer a model can get to uncertainty the better that model will be at reflecting real life. By ...
12
Finite Difference Approach to Option Pricing
... The advantage of an implicit method is that in some situations it may be stable when an explicit one is catastrophically unstable. Throughout the numerical solution of differential equations, there is a tradeoff between ...
8
Martingalized Historical approach for Option Pricing
... time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor and the empirical martingale correc- tion ...SDF ...
7
Martingalized Historical approach for Option Pricing
... time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor (SDF) and the empirical martingale correction ...SDF ...
10
General closed-form basket option pricing bounds
... basket option price, assuming very general dynamics for the n ...are general and do not require any additional assumption on the characteristic function ...other general method is successfully ...
34
A general closed-form spread option pricing formula
... spread option price in Bjerksund and Stensland (2011) from the geometric Brownian motion case to more general processes, allowing for jumps, stochastic volatility and mean ...the pricing ...
45
Option Pricing for a General Stock Model in Discrete Time
... an option must find a risk neutral ...the option matures, the present value stock price fluctuates in discrete time and, based on those changes, the seller alters the content of the portfolio at the end of ...
41
A general closed-form spread option pricing formula
... spread option price in Bjerksund and Stensland ( 2011 ) from the geometric Brownian motion case to more general processes, allowing for jumps, stochastic volatility and mean ...the pricing ...
45
Uncertainty and global warming : an option - pricing approach to policy
... The discounted costs are the monetary costs of abatement policies, while discounted benefits are the level of damage avoidance --the difference between the cost of global warming in [r] ...
38