منابع مشابه
Storage Costs in Commodity Option Pricing
Unlike derivatives of financial contracts, commodity options exhibit distinct particularities owing to physical aspects of the underlying. An adaptation of no-arbitrage pricing to this kind of derivative turns out to be a stress test, challenging the martingale-based models with diverse technical and technological constraints, with storability and short selling restrictions, and sometimes with ...
متن کاملStorage Costs in Commodity Option
Unlike derivatives of financial contracts, commodity options exhibit distinct particularities owing to physical aspects of the underlying. An adaptation of no-arbitrage pricing to this kind of derivative turns out to be a stress test, challenging the martingale-based models with diverse technical and technological constraints, with storability and short selling restrictions, and sometimes with ...
متن کاملOption Pricing on Commodity Prices Using Jump Diffusion Models
In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...
متن کاملEfficient option pricing with transaction costs
proportional transaction costs using the utility-maximization framework of Davis (1997). This approach allows option prices to be computed by solving the investor’s basic portfolio selection problem without insertion of the option payoff into the terminal value function. The properties of the value function can then be used to drastically reduce the number of operations needed to locate the bou...
متن کاملComputing option pricing models under transaction costs
This paper deals with the Barles–Sonermodel arising in the hedging of portfolios for option pricing with transaction costs. This model is based on a correction volatility function Ψ solution of a nonlinear ordinary differential equation. In this paper we obtain relevant properties of the function Ψ which are crucial in the numerical analysis and computing of the underlying nonlinear Black–Schol...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2010
ISSN: 1945-497X
DOI: 10.1137/090746586