منابع مشابه
Linear-time option pricing algorithms by combinatorics
Options are popular financial derivatives that play essential roles in financial markets. How to price them efficiently and accurately is very important both in theory and practice. Options are often priced by the lattice model. Although the prices computed by the lattice converge to the theoretical option value under the continuous-time model, they may converge slowly. Worse, for some options ...
متن کاملInvariant Option Pricing And
Part I proposes a numeraire-invariant option pricing framework. It defines an option, its price process, and such notions as option indistinguishability and equivalence, domination, payoff process, trigger option, and semipositive option. It develops some of their basic properties, including price transitivity law, indistinguishability results, convergence results, and, in relation to nonnegati...
متن کاملMeshfree Methods in Option Pricing Meshfree Methods in Option Pricing
A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. The option prices are modeled by the Black-Scholes equation. The θ-method is used to discretize the equation ...
متن کاملoption pricing models
this paper is a translation of a chapter of the hook written by jonathan e. ingersoll jr. the farsi translation will he of great help to iranian students studying option pricing models.
متن کاملOption Pricing, Arbitrage and Martingales
This paper provides a short introduction into the mathematical foundations of the theory of valuing derivative securities. We discuss the mathematical setting of option price theory and derive the relationship between no-arbitrage and mar-tingales. We provide examples how this theory can be applied to equity and foreign-exchange derivatives. We also explain how the theory can be applied to inte...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 1998
ISSN: 1460-1559
DOI: 10.21314/jcf.1998.018