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...

We have derived the analytical kernels of the pricing formulae of the CEV knockout options with time-dependent parameters for a parametric class of moving barriers. By a series of similarity transformations and changing variables, we are able to reduce the pricing equation to one which is reducible to the Bessel equation with constant parameters. These results enable us to develop a simple and ...

In this work, we derive an analytical solution for the value of Parisian up-and-in calls by using the “moving window” technique developed by Zhu and Chen [15] for pricing European-style Parisian up-and-out calls. Our pricing formula can be applied to both European-style and American-style Parisian up-and-in calls, due to the fact that with an “in” barrier, the option holder cannot do or decide ...

Under the notable Issacs’s condition on the Hamiltonian, the existence results of a saddle point are obtained for the stochastic recursive zero-sum differential game and mixed differential game problem, that is, the agents can also decide the optimal stopping time. Themain tools are backward stochastic differential equations BSDEs and double-barrier reflected BSDEs. As the motivation and applic...

The option pricing problem is one of central contents in modern finance. In this paper, European option pricing formula is formulated for Liu’s hybrid stock model with randomness and fuzziness. This formula may be regarded as a generalization of Black-Scholes formula and Qin-Li’s option pricing formula.

This paper investigates the pricing formula for barrier options where underlying asset is driven by sub-mixed fractional Brownian motion with jump. By applying corresponding Ito^’s formula, B-S type PDE derived a self-financing strategy. Furthermore, explicit obtained through converting to Cauchy problem. Numerical experiments are conducted test impact of price, Hurst index, jump intensity and ...

this paper is a translation of a chapter of the hook written by jonathan e. ingersoll jr. the farsi translation will he of great help to iranian students studying option pricing models.

The Black-Scholes formula [6] provides with an elegant and simple method to price financial derivatives under the assumption that the stock price is log-normally distributed. However, the actual distribution of most assets is rarely log-normal, and theoretical prices of options with different strikes generated by the Black-Scholes formula differ from observed market prices. One way to reconcile...