CALL OPTION PRICING WHEN THE EXERCISE PRICE IS UNCERTAIN, AND THE VALUATION OF INDEX BONDS
نویسندگان
چکیده
منابع مشابه
Mathematical analysis and pricing of the European continuous installment call option
In this paper we consider the European continuous installment call option. Then its linear complementarity formulation is given. Writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. Finally finite element method is applied to price the European continuous installment call option.
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ارزش گذاری اختیار معاملات آمریکایی با استفاده از فرآیندهای garch
abstract: in the paper of black and scholes (1973) a closed form solution for the price of a european option is derived . as extension to the black and scholes model with constant volatility, option pricing model with time varying volatility have been suggested within the frame work of generalized autoregressive conditional heteroskedasticity (garch) . these processes can explain a number of em...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 1978
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.1978.tb03396.x