Option pricing: Very simple formulas

A Simple Numerical Method for Pricing an American Put Option

We present a simple numerical method to find the optimal exercise boundary in an American put option. We formulate an intermediate function with the fixed free boundary that has Lipschitz character near optimal exercise boundary. Employing it, we can easily determine the optimal exercise boundary by solving a quadratic equation in time-recursive way. We also present several numerical results wh...

A Simple Model for Option Pricing with Jumping Stochastic Volatility

This paper proposes a simple modification of the Black–Scholes model by assuming that the volatility of the stock may jump at a random time τ from a value σa to a value σb. It shows that, if the market price of volatility risk is unknown, but constant, all contingent claims can be valued from the actual price C0, of some arbitrarily chosen “basis” option. Closed form solutions for the prices of...

Meshfree 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 ...

option 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.

FFT Based Option Pricing