منابع مشابه
A New Stock Model for Option Pricing in Uncertain Environment
The option-pricing problem is always an important part in modern finance. Assuming that the stock diffusion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. In this paper, we propose a new stock model with uncertain stock diffusion for uncertain markets. Some option pricing formulas on...
متن کاملThe Binomial Option Pricing Model
The simplest model for pricing d erivative securities is the binomial model. It generalizes the o n e period \up-down" model of Chapte r 1 t o a m ulti-period setting, assuming t hat t he price of the u nderlying asset follows a random walk. In the binomial model, there are N trading periods and N+1 trading d ates, t 0 t 1 ::: t N when it is possible to i n vest in a risky security with p r i c...
متن کاملA Generalized Option Pricing Model
The Black Scholes model of option pricing constitutes the cornerstone of contemporary valuation theory. However, the model presupposes the existence of several unrealistic assumptions including the lognormal distribution of stock market price processes. There, now, subsists abundant empirical evidence that this is not the case. Consequently, several generalisations of the basic model have been ...
متن کاملCalibration and Filtering of Exponential Lévy Option Pricing Models
A well-studied topic in finance is fitting pricing models to available market information; this is the inverse of the option pricing problem. The accuracy of least squares calibration using option premiums and particle filtering of price data to find model parameters is determined. Derivative models using exponential Lévy processes are calibrated using regularized weighted least squares with re...
متن کاملNon-parametric calibration of jump–diffusion option pricing models
generally, exponential Lévy models to a finite set of observed option prices. We show that the usual formulations of the inverse problem via non-linear least squares are ill-posed and propose a regularization method based on relative entropy: we reformulate our calibration problem into a problem of finding a risk-neutral exponential Lévy model that reproduces the observed option prices and has ...
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ژورنال
عنوان ژورنال: Sultan Qaboos University Journal for Science [SQUJS]
سال: 2012
ISSN: 2414-536X,1027-524X
DOI: 10.24200/squjs.vol17iss1pp84-102