Options in the stock market are a form of risk management that can help protect investors from various potential liabilities. Increased demand for derivatives is reflected higher trading volumes every day. Over time, it has been easier regular to get their hands on derivatives. The major Indian exchanges trade wide range financial goods, including This article explains how F&O National Stoc...

URL: www.thejournalofcomputationalfinance.com Most contracts of barrier and lookback options specify discrete monitoring policies. However, unlike their continuous counterparts, discrete barrier and lookback options essentially have no analytical solution. For a broad class of models, including the classical Brownian model and jump-diffusion models, we show that the Laplace transforms of discre...

This paper introduces two option strategies, zero-cost collar and covered call. After calculating various performance metrics, plotting return graphs, discussing strategy performance, we show the specific differences between options strategies provide suggestions to investors. The results that these do increase overall return, but mainly due initial premium received from shorting call

This paper analyzes the performance of two hedging strategies on three different options when trading is limited to take place at discrete times. Specifically, we compare the mean, standard deviation, skewness, and kurtosis of the hedging error resulting from applying a delta hedge and mean square optimal hedge to a European call option, a digital call option, and a down-and-out barrier call op...

In this paper we review several relationships between prices of put and call options, of both the European and the American type, obtained mainly through Girsanov Theorem, when the asset price is driven by a time-changed Lévy process. This relation is called put-call duality, and includes the relation known as put-call symmetry as a particular case. Necessary and sufficient conditions for put-c...

We analyze the impact of bad-tail risks on managerial pay functions, especially the decision to pay managers in stock or in options. In contrast to conventional wisdom, we find that options are often a superior vehicle for limiting managerial incentives to take bad-tail risks while providing incentives to exert effort. Arrangements similar to collar options are able to incent the desired projec...

We introduce explicitly the effort as a choice variable in a continuous time utility maximisation framework of an executive who is partly compensated with stock options. We solve the model in the case where the executive is not allowed to trade in the company’s stock but is able to achieve a partial insurance through trading in a correlated market portfolio. We define the executive’s value of t...

This paper compares the performance of Black-Scholes with an artificial neural network (ANN) in pricing European style call options on the FTSE 100 index. It is the first extensive study of the performance of ANNs in pricing UK options, and the first to allow for dividends in the closed-form model. For out-of themoney options, the ANN is clearly superior to Black-Scholes. For in-the-money optio...

Trading financial derivatives become more and popular in the modern life. The investor wants to purchase derivative receive benefits. However, Option is important component derivatives. Compared with Futures, can let feel convenance since it acts as contract. This research analyzes price of Rainbow Stock market. market includes two companies which are Pfizer Walmart. results shows that should b...