European Option
European option pricing of fractional Black-Scholes model with new Lagrange multipliers
... the European option price at asset price x and at time t, T is the maturity, r(t) is the risk free interest rate and σ(x, t) represents the volatility function of underlying ...the European call and ...
10
Singular Fourier Padé Series Expansion of European Option Prices
... to option pricing: fast Fourier transforms (FFTs) and Fourier series, such as Fourier cosine (COS) ...in option pricing, we first consider a European option pricing formula that is a ...
35
Pricing European Option When the Stock Price Process Is Being Driven by Geometric Brownian Motion
... a European Option in general when the stock price process is being driven by geometric Brownian motion ...on European option using the Donsker Delta Function approach and is compared with that ...
18
Valuing a European option with the Heston model
... the option is one of the most important financial instruments. An option is define as the right, but not the obligation, to buy (call option) or sell (put option) a specific asset by paying a ...
62
European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates
... a European option pricing when the underlying asset price dynamics is governed by a linear combination of the time-change Lévy process and a stochastic interest rate which follows the Vasicek proc- ...the ...
11
Exact Solution of Fractional Black Scholes European Option Pricing Equations
... Among these numerical methods, the VIM and the ADM are the most popular ones that are used to solve differential and integral equations of integer and fractional order.. The HPM is a uni[r] ...
15
European Option General First Order Error Formula
... metric Brownian motion has attracted the attention of several researchers, such as for instance [1], [2], [3], [4], [5], [6], [7], [8], [9], [10], [11], [12], [13], [14], [15], [16], [17], [18], [19], [20], [21], [22], ...
25
Pricing a European Option in a Black Scholes Quanto Market When Stock Price is a Semimartingale
... The process Y t , in Equation (65) above, is a martingale and it is under a new probability measure * . This equation marks one of the major contributions of this study to the the theory option pricing through ...
18
The Model Free Equivalence Condition for American Spread Options
... American option holder needs to make an optimal exercise ...the option holder to exercise her ...the option holder to know under what conditions the probability of exercising early is trivially ...
8
Valuation of Asian American Option Using a Modified Path Simulation Method
... Asian European option prices as depicted in Figures ...Asian European option prices for several values of volatility and ...Asian European option prices for different values of ...
6
Basket option pricing using Mellin transforms
... corresponding European option ...basket option, the Mellin transform of the early exercise function is dependent on the derivative operator and must be considered to obtain expressions for other ...
9
Arbitrarily Fast CRR Schemes
... the European, Amer- ican, Continuously Paying, Lookback, Digital, Game, and Barrier option ...of European options approximated by CRR-type bino- mial schemes, let us mention –among others – [6], [2], ...
7
Comparison of option pricing between ARMA-GARCH and GARCH-M models
... the option pricing performance of a time-changed L´ evy ...for European option prices, their Markovian structure is not consistent with the empirical ...
78
A Full Asymptotic Series of European Call Option Prices in the SABR Model with Beta = 1
... the European option price is the expectation of the Black-Scholes option pricing formula with a time-dependent ...calculates European prices which im- plied volatilities ...decomposes ...
28
Numerical Solution of Pricing of European Put Option with Stochastic Volatility
... paper, European option pricing with stochastic volatility forecasted by well known GARCH model is discussed in context of Indian financial ...of European put option increases with maturity ...
14
On Two Transform Methods for the Valuation of Contingent Claims
... [9] option pricing models were designed to capture two features of asset returns namely: the conditional volatility which evolves over time in a stochastic, but mean-reverting fashion and the presence of ...
25
A New Approach for Solving Boundary Value Problem in Partial Differential Equation Arising in Financial Market
... an option was not clear until 1973, when Black and Scholes published their seminal work on option pricing in which they described a mathematical frame work for finding the fair price of a European ...
12
Alternative Approach for the Solution of the Black Scholes Partial Differential Equation for European Call Option
... an option was done by little more than ...a European option by means of a non-arbitrage argument to describe a second order partial differential equation which governs the evolution of the ...
8
Study on Chinese Rural Drinking Water Option and Its Pricing
... discusses European option of rural drinking water and does not consider the American ...water option based on theoretical basis of Black-Scholes pricing model without considering the transac- tion ...
7
Options Prices in Incomplete Markets*
... (13) where W is a Brownian motion and σ > 0. (the Black-Scholes model usually incorporates a constant drift which is added to σW , yielding a probability measure P 0 which is equivalent to our measure P; hence for our ...
16