搜索结果: 1-6 共查到“应用经济学 option pricing”相关记录6条 . 查询时间(0.448 秒)
European Option Pricing with Liquidity Shocks
liquidity shock indifference price exponential utility maximization
2012/6/2
We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to tr...
A Fourier transform method for spread option pricing
Spread options multivariate spread options jump-diffusions fast Fourier transform gamma function
2010/10/29
Spread options are a fundamental class of derivative contract written on multiple assets,
and are widely used in a range of financial markets. There is a long history of approximation
methods for co...
Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model
Black–Scholes option pricing adaptive nonlinear Schr¨odinger equation
2010/11/2
A nonlinear wave alternative for the standard Black–Scholes option–pricing model is
presented. The adaptive-wave model, representing controlled Brownian behavior of financial
markets, is formally de...
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
Econophysics Stochastic Volatility Monte Carlo Simulation Option Pricing Model Calibration
2010/11/1
We consider the problem of option pricing under stochastic volatility models, focusing on
the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck
and Stein-Stein.
A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing
discretization scheme diffusion processes
2010/12/13
A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale problem framework. Mo...
Risk-neutral and Physical Jumps in Option Pricing
Option Pricing price dynamics physical jumps
2011/4/6
When jumps are present in the price dynamics of the underlying asset, the market is no longer complete, and a more general pricing framework than the risk-neutral valuation is needed. Using Monte Carl...