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[PDF] Top 20 Pricing of a European Call Option Under a Local Volatility Interbank Offered Rate Model

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Pricing of a European Call Option Under a Local Volatility Interbank Offered Rate Model

Pricing of a European Call Option Under a Local Volatility Interbank Offered Rate Model

... the local volatility model by Dupire et ...of volatility smiles. The local volatility models are arbitrage-free, self- consistent and can easily be calibrated to match the ... See full document

5

Pricing European Put Option in a Geometric Brownian Motion Stochastic Volatility Model

Pricing European Put Option in a Geometric Brownian Motion Stochastic Volatility Model

... The model (1)-(2) which is a GBM stochastic volatility was used in pricing European put option numerically, due to the unattainable closed form solution of the ...that Option ... See full document

7

Numerical Solution of Pricing of European Put Option with Stochastic Volatility

Numerical Solution of Pricing of European Put Option with Stochastic Volatility

... paper, European option pricing with stochastic volatility forecasted by well known GARCH model is discussed in context of Indian financial ...the model. It is observed that the ... See full document

14

European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates

European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates

... a European option pricing when 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 ... See full document

11

Efficient Pricing of European Style Options under Heston’s Stochastic Volatility Model

Efficient Pricing of European Style Options under Heston’s Stochastic Volatility Model

... stochastic volatility model is frequently employed by finance researchers and ...Fast pricing of European-style options in this setting has considerable practical ...a European-style ... See full document

5

On Two Transform Methods for the  Valuation of Contingent Claims

On Two Transform Methods for the Valuation of Contingent Claims

... for pricing contingent claims namely the fast Fourier transform method and the fast Hilbert transform ...for European call options in a double exponential jump-diffusion model with stochastic ... See full document

25

Option pricing under two-state Markov chain market model

Option pricing under two-state Markov chain market model

... chain model, which is a discrete-time model of a financial ...market model: first, where the model has a recombinant tree, and second, with a non-recombinant ...market model was also ... See full document

26

A Nonparametric Option Pricing Model Using Higher Moments

A Nonparametric Option Pricing Model Using Higher Moments

... nonparametric pricing model of European call options that includes non-Gaussian characteristics of skewness and kurtosis is proposed based on the cubic market capital asset pricing ... See full document

8

Option pricing in the multidimensional Black-Scholes-Merton market with Gaussian Heath-Jarrow-Morton interest rates: the parsimonious and consistent Hull-White models of Vasicek and Nelson-Siegel type

Option pricing in the multidimensional Black-Scholes-Merton market with Gaussian Heath-Jarrow-Morton interest rates: the parsimonious and consistent Hull-White models of Vasicek and Nelson-Siegel type

... forward rate curves that are consistent with the Hull-White model, the one being the simplest consistent form of Nelson-Siegel ...conditions under which these forms are consistent and obtain ... See full document

17

Option Pricing Applications of Quadratic Volatility Models

Option Pricing Applications of Quadratic Volatility Models

... Recently there has been a surge of interest in higher order moment properties of time varying volatility models. Various GARCH-type models have been developed and successfully applied in empirical finance. Moment ... See full document

16

SECURE ROUTING IN MANET USING ASYMMETRIC GRAPHS

SECURE ROUTING IN MANET USING ASYMMETRIC GRAPHS

... financial model is applied actually, the actual price does not inconsistent with the theory ...The European call option pricing model with fuzzy random stock price is presented ... See full document

5

Stochastic Volatility Jump Diffusion Model for Option Pricing

Stochastic Volatility Jump Diffusion Model for Option Pricing

... The rest of the paper is organized as follows. In Sec- tion 2, we briefly discuss the model descriptions for the option pricing. The relationship between stochastic dif- ferential equations and ... See full document

8

Improved Variance Reduced Monte Carlo Simulation of in the Money Options

Improved Variance Reduced Monte Carlo Simulation of in the Money Options

... Pricing derivatives with Monte-Carlo simulations involve standard errors that typically decrease at a rate proportional to 1 N where N is the sample size. Several approaches have been discussed to reduce ... See full document

8

PRICING EXOTIC OPTION UNDER STOCHASTIC VOLATILITY MODEL

PRICING EXOTIC OPTION UNDER STOCHASTIC VOLATILITY MODEL

... as call option) is also studied; Their asymptotic option pricing method has been applied to the research of turbo warrants pricing by Wong et ...semi-analytic pricing method for ... See full document

11

Option pricing under the double exponential jump‐diffusion model with stochastic volatility and interest rate

Option pricing under the double exponential jump‐diffusion model with stochastic volatility and interest rate

... the pricing accuracy between the proposed model and the BS and the Kou (2002) models using real market ...50ETF European options from the Shanghai Stock Exchange (SSE), expiring in June 2016, as a  ... See full document

40

A Nonparametric Option Pricing Model Using Higher Moments

A Nonparametric Option Pricing Model Using Higher Moments

... the model to improve via data trans- formation using equation (74), as seen by using risk-neutral ...is under a nonparametric framework. Further extensions of pricing model can be done, as ... See full document

48

Military Software Black-Scholes Pricing Model: Value of Software Option and Volatility

Military Software Black-Scholes Pricing Model: Value of Software Option and Volatility

... In this way, the variable V in the pricing model (6) can be supposed as estimated cost of software. And it establishes in theory on the basis of the previous analysis. But we need make it clear in practical ... See full document

6

Monte Carlo Pricing Scheme for a Stochastic-Local Volatility Model

Monte Carlo Pricing Scheme for a Stochastic-Local Volatility Model

... variance under the SLV ...the option price, one can increase the number of sample paths that are used to compute the average payoff, thus in effect sampling more of the underlying probability ...Carlo ... See full document

6

Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts

Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts

... implied volatility forecasts are also less satisfactory compared to the pre risis ...implied volatility forecasts are significantly better than the GARCH models suggesting continued foreign exchange market ... See full document

28

Vulnerable options pricing under uncertain volatility model

Vulnerable options pricing under uncertain volatility model

... the volatility of underlying assets is constant, but it is not constant in the real ...continued volatility does not explain the observed market price of an ...stochastic volatility option ... See full document

16

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