underlying asset
Subordinated Binomial Option Pricing with Stochastic Arrival Intensity and Untraded Underlying Asset
... We extend the subordinated binomial option pricing model with stochastic arrival intensity (Chang, Chang and Lu, 2010) to allow for untraded underlying assets by using matching futures prices to imply out the ...
8
Option Pricing When Changes of the Underlying Asset Prices Are Restricted
... Conventional option pricing models assume that there are no restrictions on changes of underlying asset prices. For example, [1,2] specify that stock prices follow a geometric Brownian motion and stock ...
6
Valuation of Barrier Options with the Binomial Pricing Model
... the underlying asset quotes above the “option level” at maturity, the holder will receive at most the profitability previously fixed corresponding to the “option ...
11
Hedging of Asian options under exponential Lévy models: computation and performance
... the underlying, we prove that differentiation under the integral sign with respect to parameters of interest is permis- ...lognormal underlying (Theorem 2); en route, we prove that the vega of the given ...
43
Online Full Text
... It is a well-known fact by now that the Black-Scholes model [1] may fail to reflect certain features of the fi- nancial market reality due to some unrealistic assump- tions, such as the constant volatility assumption. In ...
6
Investors Preference For Financial And Commodity Derivatives – With Special Reference To South Goa
... The concept derivatives originate in mathematics and refer to a variable which has been derived from another variable. A derivative is a financial product which has been derived from another financial product or ...
5
On the equivalence of floating and fixed strike Asian options
... the underlying asset during some part of the life of the ...the asset price is assumed to follow exponential Brownian motion, an explicit option price is not available as the arithmetic average of a ...
8
On financial derivatives and differential equations used in their assessment
... an asset at a specific future date and at a predetermined price ...the underlying asset and the seller to sell it, excepting the case in which the buyer and/or the seller covers its position before ...
6
MODELING AND SIMULATION OF GRID CONNECTED PHOTOVOLTAIC DISTRIBUTED GENERATION SYSTEM
... This paper is to price European options for assets with stochastic volatility in using fuzzy set theory. The main idea is to transform the probability distribution of stochastic volatility to its possibility distribution ...
7
Delta-gamma-theta Hedging of Crude Oil Asian Options
... Gamma hedging was working nearly ideally during the fi rst year of testing. The original value of the portfolio was stable. On the other hand, outcomes of strategies became much more volatile in time closer to the options ...
7
A Generalized Linear Transformation Method for Simulating Meixner L´evy Processes
... In the last few decades, we have observed significant ad- vances in the field of financial mathematics. Sophisti- cated financial models (such as for modeling the dynamics of the asset prices, interest rates, ...
6
A Novel Fourier Transform B-spline Method for Option Pricing
... the underlying asset price process, the option price calculation using our method becomes a simple procedure of (i) fitting a spline function ex- pressed as a linear combination of B-splines to a simple ...
42
PRICING OPTION UNDER STOCHASTIC VOLATILITY DOUBLE JUMP MODEL (SVJJ)
... Abstract: Through this paper, we introduce Fourier transform as an alter- native approach to pricing option when the underlying asset follows Stochastic Volatility double Jump model (SVJJ). In fact the ...
16
An Option Pricing Analysis of Exotic Bonus Certificates—The Case of Bonus Certificates PLUS
... the underlying asset price ever drops to the knock-out level anytime during the term to maturity and closes above the barrier level, the investors of the certificates will receive a redemption amount equal ...
10
Stochastic Volatility Jump Diffusion Model for Option Pricing
... In this paper, we would like to consider the problem of finding a closed-form formula for a European call option where the underlying asset and volatility follow the Model (3). This formula will be useful ...
8
How Much is the Gap?:Efficient Overnight Jump Risk Adjusted Valuation of Leveraged Certificates
... Boes et al. (2007) find that the overnight jump component represents a significant proportion of the overall variance. Accurately valuing the corresponding gap risk in leveraged certificates is especially important since ...
38
Evaluation of Geometric Asian Power Options under Fractional Brownian Motion
... On the other hand, the introduction of fractional Brownian motion (FBM) should date back to the develop- ment of the option pricing theory. In 1900, Bachelier, the father of option pricing theory, first developed arith- ...
9
Dimension Reduction Approach To Simulating Exotic Options In A Meixner Levy Market
... the underlying asset price is normally ...the underlying asset typically exhibits skewness and kur- ...the underlying and in derivative pricing has been gaining popularity ...
11
European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates
... 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- ...
11
Too Much Of A Good Thing? A Review Of Volatility Extensions In Black-Scholes
... Many traders use the local volatility approach because it is both easy to use (thanks to the implied binomial and trinomial trees) and retains the market completeness of the Black-Scholes model. However, Andersen and ...
12