منابع مشابه
Option Pricing with Jumps
The double barrier option is characterized by pay-off with strike K, maturity T, upper Su and lower Sd barrier levels and the corresponding rebates φu and φd which can be time dependent. We divide last four quantities by strike K and introduce new variables x = ln(S/K), xu = ln(Su/K), xd = ln(Sd/K). The value of European double barrier call option U(t, x) satisfies the extended Black-Scholes eq...
متن کاملOption pricing with fractional volatility
Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.
متن کاملOption pricing with Levy Process
In this paper, we assume that log returns can be modelled by a Levy process. We give explicit formulae for option prices by means of the Fourier transform. We explain how to infer the characteristics of the Levy process from option prices. This enables us to generate an implicit volatility surface implied by market data. This model is of particular interest since it extends the seminal Black Sc...
متن کاملBivariate option pricing with copulas
In this paper we suggest the adoption of copula functions in order to price bivariate contingent claims. Copulas enable us to imbed the marginal distributions extracted from vertical spreads in the options markets in a multivariate pricing kernel. We prove that such kernel is a copula function, and that its super-replication strategy is represented by the Fréchet bounds. As applications, we pro...
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 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: Modern Economy
سال: 2013
ISSN: 2152-7245,2152-7261
DOI: 10.4236/me.2013.41009