Pricing Options on Ghanaian Stocks Using Black-Scholes Model

The Black-Scholes-Merton Approach to Pricing Options

Pricing Options on Defaultable Stocks

We develop stock option price approximations for a model which takes both the risk of default and the stochastic volatility into account. We also let the intensity of defaults be influenced by the volatility. We show that it might be possible to infer the risk neutral default intensity from the stock option prices. Our option price approximation has a rich implied volatility surface structure a...

Barrier options pricing of fractional version of the Black-Scholes ‎model‎

In this paper two different methods are presented to approximate the solution of the fractional Black-Scholes equation for valuation of barrier option. Also, the two schemes need less computational work in comparison with the traditional methods. In this work, we propose a new generalization of the two-dimensional differential transform method and decomposition method that will extend the appli...

When are Options Overpriced? The Black–Scholes Model and Alternative Characterisations of the Pricing Kernel

An important determinant of option prices is the elasticity of the pricing kernel used to price all claims in the economy. In this paper, we first show that for a given forward price of the underlying asset, option prices are higher when the elasticity of the pricing kernel is declining than when it is constant. We then investigate the implications of the elasticity of the pricing kernel for th...

Barrier options pricing of fractional version of the Black-Scholes model

In this paper two different methods are presented to approximate the solution of the fractional BlackScholes equation for valuation of barrier option. Also, the two schemes need less computational work in comparison with the traditional methods. In this work, we propose a new generalization of the two-dimensional differential transform method and decomposition method that will extend the applic...