The interest of professional investors in financial derivatives on the Croatian market is steadily increasing and trading is expected to start after the establishment of the legal framework. The quantification of the fair price of such financial instruments is therefore becoming increasingly important. Once the derivatives market is formed, the use of the Black-Scholes option pricing model is a...

The increasing interest in financial innovation of enterprises has heightened the need for the knowledge of accurate pricing for derivatives in actual discrete-time incomplete market, especially for futures, the most actively traded derivatives in China. Nevertheless, even contingent claim pricing in such markets have few previous researches concentrated on, quite apart from futures. This paper...

In this paper, inside the system of uncertainty theory, valuation equity warrants is explored. Different from strategies probability problem unraveled by utilizing strategy uncertain calculus. Based on suspicion that firm price follows an differential equation, a formula proposed for stock model.

The concept of arbitrage has acquired a precise, technical meaning in quantitative finance (see Arbitrage Pricing Theory; Arbitrage Strategy; Arbitrage Bounds). In theoretical pricing of derivative securities, an arbitrage is a riskless trading strategy that generates a positive profit with no net investment of funds. This definition can be loosened to allow the positive profit to be nonnegativ...

A new methodology is proposed to estimate theortical prices of financial contingent-claims whose values are dependent on some other underlying financial assets. In the literature the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is not necessarily the best method in finite samples. The present paper proposes instead a simulation-bas...