[PDF] Top 20 Numerical Methods for Discrete Double Barrier Option Pricing Based on Merton Jump Diffusion Model
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Numerical Methods for Discrete Double Barrier Option Pricing Based on Merton Jump Diffusion Model
... call option has six months remaining to maturity, the risk-free rate is 10% per annum (compounded continuously), the lower bar- rier is placed at 95, and the upper barrier is imposed at ...110. ... See full document
13
A combined compact difference scheme for option pricing in the exponential jump diffusion models
... the methods for which no grid is needed (i.e., methods in which radial basis functions or spectral basis functions are ...for pricing Amer- ican options under the Merton ...of discrete ... See full document
13
Mapping of Barrier Option Pricing: A Co-citation Analysis
... binomial option pricing model", "model uncertainty", "levy processes", "early exercise boundary", "model" are the main research fields of ... See full document
9
Convertible bond valuation in a jump diffusion setting with stochastic interest rates
... valuation model of a more realistic specification including, ...as numerical solutions to partial differential equations/inequalities adopted by, ...lattice methods developed, amongst others, by ... See full document
24
Adaptive Radial Basis Function Methods for Pricing Options Under Jump Diffusion Models
... that option prices in jump- diffusion models can be computed using meshless methods based on Radial Basis Function (RBF) interpolation instead of traditional mesh- based ... See full document
20
An Accurate FFT Based Algorithm for Bermudan Barrier Option Pricing
... to model the dynamics of stock process in 1900, financial mathematics has developed a ...to model the stock pricing pro- cesses since ...to model financial markets. For example, Merton’s ... See full document
5
Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process
... a numerical algorithm for computing price of discrete single and double barrier option under the Black–Scholes ...of option pricing in different monitoring dates are ... See full document
7
Pricing Options in Jump Diffusion Models Using Mellin Transforms
... in jump diffusions is not possible and one is restricted to numerical ...a jump diffusion environment satisfy partial integro-dif- ferential equations ...The methods discretize the ... See full document
8
A numerical study of radial basis function based methods for option pricing under one dimension jump diffusion model
... the numerical exper- iments have come up with same convergence order ...a jump in the second derivative at a singularity of the initial condition means that any kinds of ODE solvers such as numerical ... See full document
35
Option pricing under the double exponential jump‐diffusion model with stochastic volatility and interest rate
... option pricing. For example, Chen et al. (2016) proposed American option pricing under generalized mixed fractional Brown motion (GMFBM), using numerical methods to solve the ... See full document
40
Game Russian Options for Double Exponential Jump Diffusion Processes
... Russian option written on dividend paying asset, obtained the value function of it for double exponential jump diffusion processes and also explored some analytical proper- ties of the value ... See full document
8
Convertible bonds from the investment and financing perspectives : a thesis presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, Palmerston North, New Zealand
... base model. The CIR model is the Cox, Ingersoll and Ross (1985) stochastic interest rate model (Panel ...TF model is the Tsiveriotis and Fernandes (1998) credit risk model, in which the ... See full document
244
The Asian Option Pricing when Discrete Dividends Follow a Markov Modulated Model
... tree model in option pricing has been very popular since the appearance of the pioneering work by Cox, et ...tree model for pricing Asian option was proposed by Hull and White ... See full document
14
From stochastic processes to numerical methods: a new scheme for solving reaction subdiffusion fractional partial differential equations
... the discrete time master equations of DTRWs with reactions an ...of discrete time master equations of DTRWs subject to ...the discrete master equations that govern the evolution of the reaction ... See full document
41
Ballpark of Black Schole-Merton Model in option pricing Shailaja Konek , Research Scholar, Department of Management Gulbarga University, Kalaburagi
... 2014.The option prices are depend on the time period, the longer the time, the higher the option pricing and shorter the time, the lower the option ... See full document
9
Derivatives pricing in a Markov chain jump diffusion setting
... There are many models which can be used to describe the behaviour of the short rate. Some of these models may allow an exact fit to the initial term structure or possess more preferable term structures than others. The ... See full document
242
Pricing of Double Barrier Options by Spectral Theory
... path-dependent option, while in Linetsky the process considered is no a Markov process and it is more correct, but for suitable values of volatility and of width of barriers, our hypothesis does ...of ... See full document
14
A Study on Options Pricing Using GARCH and Black-Scholes-Merton Model
... volatility pricing of the index options with the help of the Black-Scholes-Merton option pricing formula and the GARCH (1, 1) model and has found severe mispricing in Indian Index ... See full document
17
Freight options: Price modelling and empirical analysis
... Baltic Option Assessments (BOAs) published by the Baltic Exchange; these are assessments of implied volatilities for at-the-money options, ...freight option brokers and are published ...Asian option ... See full document
28
Design of New Barrier Outperformance Certificates in Oil Market
... with barrier, i.e. barrier reverse outperformance and barrier reverse outperformance certificates with cap have a significant place in the segment of partial guaranteed investment tools due to a ... See full document
9
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