Extending Figlewski’s option pricing formula0
نویسندگان
چکیده
0 We would like to thank Gurdip Bakshi, Nikunj Kapadia and Robert Tompkins for kindly sharing their data sets. We also thank seminar participants at Stanford University and Steve Figlewski for comments on a previous version of this paper. The second author is supported by an Advanced Fellowship from the EPSRC. The third author acknowledges partial financial support from DAAD, EPSRC and KWI.
منابع مشابه
Is There an Informationally Passive Benchmark for Option
†We would like to thank Gurdip Bakshi, Nikunj Kapadia and Robert Tompkins for kindly sharing their data sets. We also thank seminar participants at Stanford University and Columbia University, and Steve Figlewski for comments on a previous version of this paper titled “Extending Figlewski’s option pricing formula”. The first author acknowledges partial support from the NSF via grant DMI 0447990...
متن کاملHow Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing?
In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncerta...
متن کاملNumerical Solutions for Fractional Black-Scholes Option Pricing Equation
In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.
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 کاملA New Stock Model for Option Pricing in Uncertain Environment
The option-pricing problem is always an important part in modern finance. Assuming that the stock diffusion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. In this paper, we propose a new stock model with uncertain stock diffusion for uncertain markets. Some option pricing formulas on...
متن کامل