Option Pricing
Optimal option pricing and trading: a new theory
... Optimal option pricing and trading: a new theory Moawia, Alghalith.[r] ...
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Numerical methods for option pricing.
... 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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Hilbert transform, spectral filters and option pricing
... 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 ...
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Option Pricing: A Simplified Approach
... 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 ...
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Some Properties for the American Option Pricing Model
... 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 ...
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A reduced basis for option pricing
... in option pricing ...of option pricing functions, yielding an approximation whose precision is exponential in the number of basis func- ...the pricing PDE is ...
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Option Pricing with Time Varying Volatility
... 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 ...
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Option Pricing Applications of Quadratic Volatility Models
... 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 ...
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The Split tree for option pricing
... 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 ...
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Adaptive Wave Models for Sophisticated Option Pricing
... 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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On Hidden Problems of Option Pricing
... 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 ...
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Loan Guarantees: An Option Pricing Theory Perspective
... 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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No-Arbitrage Option Pricing and the Binomial Asset Pricing Model
... 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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Option pricing in a path integral framework
... 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 ...
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Option pricing of earnings announcement risks
... 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 ...
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Alternative Tilts for Nonparametric Option Pricing
... 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, ...
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Recent Developments in Option Pricing
... 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 ...
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Option Pricing in an Oligopolistic Setting
... 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 ...
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Strategic option pricing
... 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 ...
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Option Pricing with Markov Switching in Uncertainty Markets
... 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 ...
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