This paper proves the convergence of applying the radial basis functions as a global spatial approximation method for solving the option pricing models. The computational advantage of this method is illustrated by giving numerical examples on solving both the European and American options pricing models whereas the latter is a free boundary value problem.

In this paper, the pricing of a European call option on the underlying asset is performed by using a Monte Carlo method, one of the powerful simulation methods, where the price development of the asset is simulated and value of the claim is computed in terms of an expected value. The proposed approach, applied in Monte Carlo simulation, is based on the Black-Scholes equation which generally def...

in this paper we consider the european continuous installment call option. then  its linear complementarity formulation is given. writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. finally finite element method is applied to price the european continuous installment call option.

In this paper we consider the European continuous installment call option. Then  its linear complementarity formulation is given. Writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. Finally finite element method is applied to price the European continuous installment call option.

In this paper, we studythe option pricing problem,one of the prominent and challenging problems in computational finance. Using Pade approximation,we have developed a second order L0 stable discrete parallel algorithm for experimentation on advanced architectures. This algorithm is suitable for more complicated option pricing problems. For simulation purposes, we have implemented thesequential ...

We reconsider the replication problem for contingent claims in a complete market under a general framework. Since there are various limitations in the Black–Scholes pricing formula, we propose a new method to obtain an explicit self–financing trading strategy expression for replications of claims in a general model. The main advantage of our method is that we propose using an orthogonal expansi...

Options pricing model parameters are inherently imprecise due to fluctuations in the real-world financial market. Traditional option pricing methods do not account for the uncertainty in parameters, but the fuzzy set theory may be applicable. This paper proposes a cash-or-nothing European call binary option pricing model based on the hypothesis that the underlying asset price, risk-free rate of...