نتایج جستجو برای: european option pricing problem
تعداد نتایج: 1143958 فیلتر نتایج به سال:
Numerical Methods for Pricing Multi-Asset Options Yuwei Chen Master of Science Graduate Department of Computer Science University of Toronto 2017 We consider the pricing of two-asset European and American options by numerical Partial Differential Equation (PDE) methods, and compare the results with certain analytical formulae. Two cases of options are tested: exchange option and spread option. ...
The paper is focused on numerical approximation of early exercise boundary within American put option pricing problem. Assuming non-dividend paying, American put option leads to two disjunctive regions, a continuation one and a stopping one, which are separated by an early exercise boundary. We present variational formulation of American option problem with special attention to early exercise a...
There is a compelling need to accurately and efficiently compute option values. Existing literature shows that models based on constant stock volatilities have been widely used in option valuation. However, stock volatilities change constantly in real life situations. The introduction of the Auto Regressive Conditional Heteroskedasticity (ARCH) model and subsequently, the Generalized Auto Regre...
Path-dependent options are options whose payoff depends nontrivially on the price history of an asset. They play an important role in financial markets. Unfortunately, pricing path-dependent options could be difficult in terms of speed and/or accuracy. The Asian option is one of the most prominent examples. The Asian option is an option whose payoff depends on the arithmetic average price of th...
In this paper, we modeled an artificial European option market under unknown volatility with liquidity costs using an agent-based modeling and simulation approach. The option price in the presence of liquidity costs is given by solving a partial differential equation. We proved that both unknown volatility and the unknown drift have significant effects in the pricing bias. Moreover, pricing bia...
In this paper, we provide an option pricing formula based on an arbitrarily given stock distribution, where the problem of optimally hedging the payoo on a European call option is considered through a self-nancing trading strategy. An optimal hedging problem is solved on a trinomial lattice by assigning suitable probabilities on the lattice, where the underlying stock price distribution is deri...
Exotic option contracts typically specify a contingency upon an underlying asset price monitored at a discrete set of times. Yet, techniques used to price such options routinely assume continuous monitoring leading to often substantial price discrepancies. A brief review of relevant option-pricing methods is presented. The pricing problem is transformed into one of Wiener–Hopf type using a z-tr...
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