[PDF] Top 20 A binomial tree to price European options
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A binomial tree to price European options
... above tree can be implemented easily to price European call or put ...the tree are simulated, and for each path the payoff of our European option is calculated, and the price of ... See full document
8
Performance Measure of Binomial Model for Pricing American and European Options
... stock price and 50 time- steps that the American option can be ...stock price and 8000 time-steps due to the instable nature of this ...the price of a similar European option obtained by the ... See full document
13
A Binomial Tree to Price European and American Options
... the binomial tree in my earlier paper, Brogi ...the tree was implemented by Monte Carlo simulation, i.e. simulating price trajectories along the tree, in this paper the whole ... See full document
9
Computation of Greeks Using Binomial Tree
... for European options using the binomial tree methods of Cox et ...for European options directly and computed it further using relationships between the discrete Malliavin ... See full document
28
CPU-GPU Hybrid Parallel Binomial American Option Pricing
... same binomial American option pricing problem on the Quadro NVS 160M is very different from working with the Intel P8600, because of the SIMT (single instruction multiple threads) execution model of the NVIDIA ... See full document
6
Online Full Text
... of binomial model in the context of Black-Scholes-Merton [1, 9] for pricing standard options based on a risk-neutral valuation which was first suggested and derived by [4] and assumes that stock ... See full document
12
The Impact of Trader Behavior on Options Price Volatility
... exaggerate price movements, which increaseprice ...of price formation, which predicts that noise trading leads to overreaction tofundamental information, and hence excessive ... See full document
14
Application of options in hedging of crude oil price risk
... company’s price risk exposure when being involved with physical ...Also, options are more flexible compared to other derivative instruments used in price risk ...maturity options are cheaper ... See full document
8
Binomial option pricing and the conditions for early exercise: An example using foreign exchange options
... Binomial Option Pricing and the Conditions for Early Exercise: An Example using Foreign Exchange Options RICHARD BREEN The Economic and Social Research.. Abstract: In this paper arc deri[r] ... See full document
11
Stock Options and Child Support: The Price of Accuracy
... Kerr, California held the trial court erred in awarding a percentage of exercised and sold options as child support unless it be accompanied by a reasonable needs [r] ... See full document
35
A Study on Emerging Trends in Indian Derivative Market
... Derivatives market in India began in 2000 when NSE and BSE commenced trading in equity derivatives. Since then India has become a huge and vibrant market for derivatives. Equity derivatives play a great role in ... See full document
5
A Simple Method to Price Window Reset Options
... Black-Scholes PDE. The problem was simplified into an initial-boundary value problem of a heat equation. The solution could be represented explicitly via a boundary integral representation [9]. Additionally, if we change ... See full document
7
Freight options: Price modelling and empirical analysis
... Permanent repository link: http://openaccess.city.ac.uk/12201/ Link to published version: http://dx.doi.org/10.1016/j.tre.2012.12.001 Copyright and reuse: City Research Online aims to ma[r] ... See full document
6
Freight options: Price modelling and empirical analysis
... We provide evidence that the presence of jump terms in the spot freight process can flexibly describe extreme movements in the capesize, panamax and supramax sectors of the dry bulk market. Analysis on ... See full document
28
Dimension Reduction Approach To Simulating Exotic Options In A Meixner Levy Market
... asset price follows an exponen- tial Meixner L´ evy process and by resorting to some exotic options including average options and lookback options, we demonstrate the effectiveness and robust- ... See full document
11
A Skewness Adjusted Binomial Model for Pricing Futures Options—The Importance of the Mean and Carrying Cost Parameters
... CRR binomial model to include skew- ...a binomial process for a spot security are found by setting the equations for the expected value, variance, and skewness equal to their respective empirical values and ... See full document
16
Optimum technology product life cycle technology innovation investment - Using compound binomial options
... This study utilizes the compound binomial options model (Copeland and Antikarov, 2001; Cheng et al., 2011) and the three stages of the product life cycle characteristics: introductory, growth, and maturity. ... See full document
25
Willow Power: Optimizing Derivative Pricing Trees
... the price of an American put option To examine how accuracy relates to computa- tion time, we use two-factor versions of Willow and trinomial ...to price an American option to exchange one share of stock 2 ... See full document
10
The price of correlation risk:evidence from commodity options
... the price that the market pays in order to alleviate or dis- sociate from the impacts of variations in intra-commodity correlations; in other words, the correlation risk in commodity ...index options, our ... See full document
46
Pricing European and Discretely Monitored Exotic Options under the Lévy Process Framework »
... It should be noted that even though the price process looks continuous over some regions, it is actually composed of many very small jumps with sudden larger jumps. The stochas- tic continuity condition of the ... See full document
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