Barrier Option Pricing with Heavy Tailed Distribution
نویسندگان
چکیده
منابع مشابه
Barrier Option Pricing
This thesis examines the performance of five option pricing models with respect to the pricing of barrier options. The models include the Black-Scholes model and four stochastic volatility models ranging from the single-factor stochastic volatility model first proposed by Heston (1993) to a multi-factor stochastic volatility model with jumps in the spot price process. The stochastic volatility ...
متن کاملNumerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process
In this article, we propose a numerical algorithm for computing price of discrete single and double barrier option under the emph{Black-Scholes} model. In virtue of some general transformations, the partial differential equations of option pricing in different monitoring dates are converted into simple diffusion equations. The present method is fast compared to alterna...
متن کاملBarrier Option Pricing by Branching Processes
Svetlozar T. Rachev Chair-Professor, Chair of Statistics, Econometrics and Mathematical Finance, School of Economics and Business Engineering, University of Karlsruhe and KIT, Kollegium am Schloss, Bau II, 20.12, R210, Postfach 6980, D-76128, Karlsruhe, Germany and Department of Statistics and Applied Probability, University of California, Santa Barbara, and Chief-Scientist, FinAnalytica Inc. E...
متن کاملReportrapport Random Walk with a Heavy-tailed Jump Distribution Random Walk with a Heavy-tailed Jump Distribution
The classical random walk of which the one-step displacement variable u has a rst nite negative moment is considered. The R.W. possesses an unique stationary distribution; x is a random variable with this distribution. It is assumed that the righthand and/or the lefthand tail of the distribution of u are heavy-tailed. For the type of heavy-tailed distribution considered in this study a contract...
متن کاملSampling at a Random Time with a Heavy-Tailed Distribution∗
Let Sn = ξ1 + · · · + ξn be a sum of i.i.d. non-negative random variables, S0 = 0. We study the asymptotic behaviour of the probability P{X(T ) > n}, n→∞, where X(t) = max{n ≥ 0 : Sn ≤ t}, t ≥ 0, is the corresponding renewal process. The stopping time T has a heavy-tailed distribution and is independent of X(t). We treat two different approaches to the study: via the law of large numbers and by...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH
سال: 2019
ISSN: 0424-267X,1842-3264
DOI: 10.24818/18423264/53.4.19.03