× خانه ژورنال ها پست ها ثبت نام ورود

Option Pricing in the Presence of Operational Risk

نویسندگان

  • Alireza Bahiraie Department of Mathematics, Faculty of Mathematics, Statistics and Computer Sciences, Semnan University, Semnan 35131-19111, Iran
  • Mohammad Alipour Department of Mathematics, Faculty of Mathematics, Statistics and Computer Sciences, Semnan University, Semnan 35131-19111, Iran
  • Rehan Sadiq School of Engineering, University of British Columbia (Okanagan), 3333 University Way, Kelowna, Canada

چکیده

In this paper we distinguish between operational risks depending on whether the operational risk naturally arises in the context of model risk. As the pricing model exposes itself to operational errors whenever it updates and improves its investment model and other related parameters. In this case, it is no longer optimal to implement the best model. Generally, an option is exercised in a jump-diffusion model, if the stock price either exactly hits the early exercise boundary or the price jumps into the exercise price region. However paths of the diffusion process are continuous. In this paper the impact of operational risk on the option pricing through the implementation of Mitra’s model with jump diffusion model is presented. A partial integral differential equation is derived and the impact of parameters of Merton’s model on operational risk and option value by operational value at risk measure is employed. The option values in the presence of operational risk on data set are computed and some of the results are presented.

جستجوی کلمه کلیدی

Option pricing
Operational Risk
Hedging

برای دسترسی به متن کامل این مقاله و 10 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

ورود

منابع مشابه

a r t i c l e i n f o Operational risk is increasingly being recognised as a significant area of risk and regulation, yet there exists relatively little research on it. In this paper we show that operational risk represents a fundamental risk to option hedging and investigate it by proposing a new theoretical model. We derive an exposure indicator for the operational risk of option hedging and ...

employees always concern about losing their job , or in other word , losing their income resources. for this purpose, every government requires strong system for covering these concerns. the unemployment insurance (ui) program’s can be used for achieving this goal. in this thesis, we price ui based on the insurance history of employee and the duration of being unemployed. we use the weibull dis...

چکیده: سرطان پستان دومین عامل مرگ مرتبط با سرطان در خانم ها است. از آنجا که سرطان پستان یک تومور وابسته به هورمون است، می تواند توسط وضعیت هورمون های استروئیدی شامل استروژن و پروژسترون تنظیم شود. استروژن نقش مهمی در توسعه و پیشرفت سرطان پستان ایفا می کند و تاثیر خود را روی بیان ژن های هدف از طریق گیرنده های استروژن اعمال می کند. اما گروه دیگری از گیرنده های هسته ای به نام گیرنده های مرتبط به ا...

The purpose of this paper is to review the recent derivatives security research involving liquidity risk and to summarize its implications for practical risk management. The literature supports three general conclusions. The first is that the classical option price is "on average" true, even given liquidity risk. Second, it is well known that although the classical (theoretical) option hedge ca...

This paper summarizes the recent advances of Çetin [6], Çetin, Jarrow and Protter [7], Çetin, Jarrow, Protter and Warachka [8], Blais [4], and Blais and Protter [5] on the inclusion of liquidity risk into option pricing theory. This research provides new insights into the relevance of the classical techniques used in continuous time finance for practical risk management.

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 ...