Vanilla pricing methods for equity options
Pricing and hedging of FX plain vanilla options
... advanced methods such as introducing a heuristic optimization optimizer such as Differential Evolution as used in (Gilli, Große, and Schumann, 2010), also used here in a minimization problem, allthough a different ...
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Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options
... digital options are susceptible to cause numerical oscillations of the Greeks when time integrators such as the Crank-Nicolson method are ...option pricing problems, although the results are less accurate ...
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Pricing methods for Asian options
... As far as the analytical approximations for the price of the Asian option are concerned, a lower bound was explored. The lower bound was very close to the Monte Carlo price, that we could literally take it to be the ...
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Review of modern numerical methods for a simple vanilla option pricing problem
... Wavelet methods use wavelets as basis ...adaptive methods for solving differential, integral and integro-differential ...of methods based on these ideas is the small number of parameters representing ...
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Numerical Methods for Pricing Exotic Options
... Thus this semi-parametric approach could be applied to more general class of moment problems. In the SDP moment approach suggested by Lasserre, Prieto-Rumeau and Zervos in [21], several exotic options could be ...
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An Analysis of Pricing Methods for Baskets Options
... The picture obtained so far completely changes if we have asymme- try in the volatilities, precisely if there are groups of stocks with high and with low volatilities entering the basket. This is clearly demonstrat- ed ...
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Numerical Methods for Pricing Exotic Options
... proposed methods for pricing European and a class of exotic ...Classical methods, such as Black- Scholes PDE and Monte Carlo methods try to find a single value for the price of the ...new ...
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Discrete time methods of pricing Asian options
... on pricing focus on continuous Asian options using assumptions as in Black and Scholes ...these methods. 3.2 The Binomial Tree Based Model In derivative pricing, it is known that pricings are ...
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Alternative Pricing Methods for Shout Call Options
... Alternative Pricing Methods for Shout Call Options Joanna Goard ∗ Abstract —Shout call options are exotic options that give the investor the ability to ‘shout’ during the life of the ...
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Research Article A Generic Decomposition Formula for Pricing Vanilla Options under Stochastic Volatility Models
... Stochastic volatility models are a natural extension of the Black-Scholes model in order to manage the skew and the smile observed in real data. It is well known that in these models the average of future volatilities is ...
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Pricing Asian Options using Monte Carlo Methods
... of pricing arithmetic average Asian options using Monte Carlo simulation ...the pricing performance of simulation becomes the critical ...of options as the control ...
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Pricing Options with Monte Carlo and Binomial Tree Methods
... tree methods to price the European call options and the American put options, ...call options. To price the American put options, I used the binomial tree ...on options that have ...
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Pricing European options using Monte Carlo methods
... Financial Options An option is a contract which gives the buyer the right, but not obligation, to buy or sell an instrument at a specified strike price on or before a specified ...of options: call option ...
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Pricing American Options using Monte Carlo Methods
... Option pricing is an important area of research in the finance ...primary methods for pricing American options are binomial trees and other lattice methods, such as trinomial trees, and ...
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Comparison of Numerical Methods on Pricing of European Put Options
... an implicit scheme. Some studies about the use of a finite difference method in obtaining the price of option are in the following. Lateef and Verma used time fractional for pricing European call option [6] for ...
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Numerical Methods For Derivative Pricing with Applications to Barrier Options
... The pricing of derivative options is given by the expected value of its discounted ...generates pricing paths for the underlying stock via random ...these pricing paths to compute the ...
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Efficient tree methods for pricing digital barrier options
... Digital options can also include barrier levels: they can be acti- vated or nullified if the underlying asset price process reaches certain contractually specified ...
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Vanilla FX OTC Options with Saxo Bank
... FX options are done outside of traditional exchanges, effectively between market makers, the currency options market is said to be an OTC (Over-the-Counter) ...for pricing and execution, if and when ...
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Local and Stochastic Volatility Models: An Investigation into the Pricing of Exotic Equity Options
... There is an analogy of the relationship that exists between the yield-to-maturity and the forward rates of a discount instrument, and the implied volatility and the local volatilities of an option (Derman, Kani & Zou ...
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Vanilla Option Pricing on Stochastic Volatility market models
... market-traded options prices, the smile curve, can be accounted for by stochastic volatility ...of options maturing at a certain date, volatility needs to be a function of the ...of options maturing ...
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