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Option Price

Performance Comparison of Various Kernels of Support Vector Regression for Predicting Option Price

Performance Comparison of Various Kernels of Support Vector Regression for Predicting Option Price

... of option pricing. Option price accuracy yet difficult task in computational financial ...stock price. ‘Option’ which is the right (not the obligation) to buy (call option) or ...

11

On the Parametric Interest of the Option Price from the Black-Scholes Equation

On the Parametric Interest of the Option Price from the Black-Scholes Equation

... We see that the solution u (s, t, λ) in (21) is a weak solution of the form of Dirac-delta distribution. Thus the option price u (s, t, λ) in (21) does not appear in the real world application subject to ...

5

Convergence of estimated option price in a regime switching market

Convergence of estimated option price in a regime switching market

... modified price equation, the estimator is approximated in the class of smooth functions and furthermore, the convergence is ...modified price equation is verified and the point-wise convergence of such ...

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Call option price function in Bernstein polynomial basis with no arbitrage inequality constraints

Call option price function in Bernstein polynomial basis with no arbitrage inequality constraints

... arbitrage-free option price function defined across strike price and estimated from the available quotes has been studied extensively by researchers and practitioners (see, ...state price ...

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Recovering a time homogeneous stock price process from perpetual option prices

Recovering a time homogeneous stock price process from perpetual option prices

... the price of an option and the volatility of the under- lying ...free option price can be calculated using the Black–Scholes ...an option price is given, then the implied ...

35

Closed Form Approximations for Spread Option Prices and Greeks

Closed Form Approximations for Spread Option Prices and Greeks

... spread option price involves a two-dimensional ...log price of asset one, as a function of the log price of asset two, for the option to expire in the ...spread option is linear ...

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A note on the alpha-quantile option

A note on the alpha-quantile option

... the option value depends, reveals that the α-quantile option presents patterns lined up with the behaviour of other Euro-type ...call option to changes in the stock volatility. As we can observe, the ...

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Essays on Portfolio Optimization, Simulation and Option Pricing

Essays on Portfolio Optimization, Simulation and Option Pricing

... it can bring out the main features of the option price. However, it has been crit- icized for its normal distribution and the complete market assumptions. For example, the empirical data show conflicts in ...

162

The Call Option Pricing Based on Investment Strategy with Stochastic Interest Rate

The Call Option Pricing Based on Investment Strategy with Stochastic Interest Rate

... the option pricing issue under the stochastic interest rate model has been extensive researched, but the option pricing under investment strategy is still a new ...call option. During the ...

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A Quasi analytical Interpolation Method for Pricing American Options under General Multi dimensional Diffusion Processes

A Quasi analytical Interpolation Method for Pricing American Options under General Multi dimensional Diffusion Processes

... stock price, the inter- polation parameter, and the option ...each option. The properties of the critical stock price, the interpolation parameter, the American put option price, ...

49

The relationship between conditional value at risk and option prices with a closed-form solution

The relationship between conditional value at risk and option prices with a closed-form solution

... In this paper we derived a simple, closed form and analytic relationship between CVaR and European options. We discussed the significance of the equation and relationship, in particular with respect to implied volatility ...

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Canonical Representation Of Option Prices and Greeks with Implications for Market Timing

Canonical Representation Of Option Prices and Greeks with Implications for Market Timing

... in option pricing ...robust option pricing power law which eschewed assumptions about risk attitudes, rejected risk neutrality, and made no assumptions about stock price distribu- ...call ...

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Vol 2015

Vol 2015

... no-touch option, one can easily obtain the option price. The price of the pure discount bond in CIR model is known in close-form, while for the remaining factor, we apply the Laplace and ...

8

Option pricing under two-state Markov chain market model

Option pricing under two-state Markov chain market model

... Implying the last condition it is used the minimization square deviation price calibration to select a risk-neutral measure. A similar approach can be found in Cont and Tankov (2006) [22] and Elliott at el.(2011) ...

26

On the Economic Premium Principle

On the Economic Premium Principle

... strike price and the vertical axis is the volatility ...strike price because the implied volatility is solved by the simulated option price for each strike ...strike price and the ...

10

A Simple Method to Price Window Reset Options

A Simple Method to Price Window Reset Options

... the option price. An example of a window reset option is presented to demonstrate the influence of different levels of stock volatility on option ...

7

Valuing Coca-Cola And PepsiCo Options Using The Black-Scholes Option Pricing Model And Data Downloads From The Internet

Valuing Coca-Cola And PepsiCo Options Using The Black-Scholes Option Pricing Model And Data Downloads From The Internet

... Scholes Option Pricing Model call option prices for Coca-Cola and ...stock price and option price are taken from Yahoo Finance and the daily returns variance is computed from daily ...

6

On the White Noise of the Price of Stocks related to the Option Prices from the Black-Scholes Equation

On the White Noise of the Price of Stocks related to the Option Prices from the Black-Scholes Equation

... We know that the white noise is the cause of the fluctua- tion of the price of stock. In the past, the white noise has not been computed properly from the stock model. For- tunately, we can compute such white ...

6

A Novel Fourier Transform B-spline Method for Option Pricing

A Novel Fourier Transform B-spline Method for Option Pricing

... our option pricing framework as the Fourier transform B-spline method ...an option valuation formula as a contour integral in the complex plane and can be considered as a generalization of the ap- proach of ...

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Pricing a European Option in a Black Scholes Quanto Market When  Stock Price is a Semimartingale

Pricing a European Option in a Black Scholes Quanto Market When Stock Price is a Semimartingale

... The method gives the general method of calculating the price of the option in the sense that it accommodates both continuous and processes with jumps. When ∆ X t = 0 , we are talking of continuous processes ...

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