搜索结果: 1-15 共查到“option pricing”相关记录23条 . 查询时间(0.069 秒)
Preliminary remarks on option pricing and dynamic hedging
Quantitative finance option pricing, European option dynamic hedging replication arbitrage time series volatility abrupt changes model-free control nonstandard analysis.
2012/9/14
An elementary arbitrage principle and the existence of trends in financial time series, which is base on a theorem published in 1995 by P. Cartier and Y. Perrin,lead to a new understanding of option p...
Conditional sampling for barrier option pricing under the Heston model
Conditional sampling barrier option pricing Heston model
2012/9/14
We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT method from Imai and T...
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...
Pragmatic insurance option pricing
Complete and incomplete markets cost and market price adjustments Dynamic hedging and no-arbitrage Insurance and financial option contracts Insurance and option pricing theory
2011/9/6
This paper deals with theoretical and practical pricing of non-life insurance contracts within a financial option pricing context. The market-based assumption approach of the option context fits well ...
Preferences, Lévy Jumps and Option Pricing
equilibrium option pricing recursive utility Levy jumps
2011/4/2
This paper derives an equilibrium formula for pricing European options and other contingent claims which allows incorporating impacts of several important economic variable on security prices includin...
Denoising Surprises in Option Pricing
financial time series option premium attenuated volatility
2011/3/30
We perform wavelet decomposition of high frequency financial time series into high and low-energy spectral sectors. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns ...
The valuation of compensation expense under SFAS 123R using option pricing theory
SFAS 123R Compensation Expense Black-Scholes Options
2010/10/18
This paper demonstrates the impact of changes in option pricing model variables used in
the Black-Scholes Option Pricing Model [BSOPM] on the valuation of compensation expense
SFAS 123R. We provide ...
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
option pricing jump diffusion models
2010/10/18
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a par...
Extra-Dimensional Approach to Option Pricing and Stochastic Volatility
Extra-Dimensional Option Pricing Stochastic Volatility
2010/10/18
The generalized 5D Black-Scholes differential equation with stochastic volatility is derived. The projections of the stochastic evolutions associated with the random variables from an enlarged space o...
A comprehensive method for exotic option pricing
comprehensive method exotic option pricing
2010/10/18
This work illustrates how several new pricing formulas for exotic options can be derived within a Levy framework by employing a unique pricing expression. Many existing pricing formulas of the traditi...
Option pricing in multivariate stochastic volatility models of OU type
multivariate stochastic volatility models Ornstein-Uhlenbeck type processes option pricing
2010/10/18
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still ...
Adaptive Wave Models for Option Pricing Evolution: Nonlinear and Quantum Schrödinger Approaches
Black--Scholes option pricing adaptive nonlinear Schr\"odinger equation
2010/10/18
Adaptive wave model for financial option pricing is proposed, as a high-complexity alternative to the standard Black--Scholes model. The new option-pricing model, representing a controlled Brownian mo...
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...
Regime Switching Stochastic Volatility with Perturbation Based Option Pricing
Stochastic volatility option pricing perturbation theory
2010/10/29
Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consistency with theoretic...
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...