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 کاملAn operator approach to multipoint Padé approximations
First, an abstract scheme of constructing biorthogonal rational systems related to some interpolation problems is proposed. We also present a modification of the famous step-by-step process of solving the NevanlinnaPick problems for Nevanlinna functions. The process in question gives rise to three-term recurrence relations with coefficients depending on the spectral parameter. These relations c...
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 کاملA-stable Padé approximations and quadratic stability
In this paper we prove that all A-stable Padé approximations for the matrix exponential preserve common quadratic Lyapunov functions for switched linear systems.
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 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: Communications Faculty Of Science University of Ankara Series A1Mathematics and Statistics
سال: 2012
ISSN: 1303-5991
DOI: 10.1501/commua1_0000000679