... Optimal option pricing and trading: a new theory Moawia, Alghalith.[r] ...

15

... put **option** was made as fast as it can be in ...American **option**; there are far better choices if one wants to price some exotic options, for example barrier or look-back ...

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... for **pricing** derivatives based on the Hilbert transform computed with a sinc function expansion can be modified with the addition of spectral filters to improve their ...the **pricing** schemes by Feng and ...

31

... We could easily expand the analysis to include dividend policies in which the amount paid on any ex-dividend date depends on the stock price at that time in a more general way. 16 However, this will cause some minor ...

34

... In financial markets, the volatility plays a major role for the **option** **pricing** model. **Option** price often changes dramatically when the stock market is in a cha- otic movement. This was the case ...

8

... in **option** **pricing** ...of **option** **pricing** functions, yielding an approximation whose precision is exponential in the number of basis func- ...the **pricing** PDE is ...

29

... GARCH **option** **pricing** model with Generalized Hyperbolic innovation in the presence of exponential affine stochastic discount factor, while Siu et ...GARCH **option** **pricing** model when the driving ...

41

... **Option** **pricing** based on the Black-Scholes model is widely used in the financial ...the **pricing** of European-style ...tion **pricing** formulas for different models which are as- sumed to follow a ...

16

... In this thesis we have introduced the most famous models for **option** **pricing** us- ing binomial trees. First, we have seen the basic properties of the the CRR and the RB tree and the first problems appeared ...

105

... stochastic **option**- **pricing** model with stock price s, volatility and interest rate r is formally defined as a complex-valued, focusing (1+1)-NLS equation, defining the time-dependent op- tion-price wave ...

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... Assets and options price description is a part of economic and financial models. Introduction of economic space gives general approach to economics and finance modeling and allows describe financial variables as ...

13

... In this paper we analyze security loan guarantees in the light of the **option** **pricing** theory. We interpret them as put options on the cash flows of a secured debt. We highlight that the value of the ...

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... the **option** (at a particular time, namely when the **option** is rst ...an **option**, typically before the future values of the underlying security are known, is referred to as **option** ...asset ...

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... ment **pricing** models is via the use of Martingale methods and game ...of **option** **pricing** (with discrete re-balancing) using Martingale ...(**option**) **pricing** is open to various methods and ...

300

... via **option** **pricing** errors and the relative importance of EADs, SV and randomly timed ...where **pricing** errors can be more than 50% lower when incorporating earnings ...large **pricing** errors. For ...

83

... nonparametric **option** **pricing** techniques have expanded rapidly in recent years [Hutchinson, Lo, and Poggio (1994), Rubenstein (1994), A¨ıt-Sahalia and Lo (1998), (Broadie, Detemple, Ghysels, and Torres, ...

28

... for **option** **pricing** by carrying out ex- tensive empirical analysis of the European call **option** valuation for S & P 100 index and showing that the pro- posed method outperforms other compelling ...

9

... of **option** **pricing** in which the derivative and/or the underlying asset have an oligopolistic market structure, which produces an expected return on these assets that exceeds (or goes below) their fundamental ...

16

... to **option** **pricing** for the single-period case (see, ...classical **option** **pricing** question in this framework is: What is the time- zero price of an **option** on the risky asset? The ...

13

... of **option** **pricing**, in this paper, we deal with the **pricing** of options with Markov switching model in uncertainty ...for **pricing** when the Markov process has two ...

8