搜索结果: 31-45 共查到“知识库 理论经济学 options”相关记录54条 . 查询时间(0.296 秒)
Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
Pricing options illiquid markets optimal systems symmetry reductions
2010/10/18
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hedging strategies on the price of asset introduced by Sircar and Papanicolaou. We are first to study ...
Asymptotic behavior of prices of path dependent options
path dependent option Markov property Levy process Asian option partial barrier option asymptotic behavior
2010/11/3
In this paper, we give a numerical method for pricing long maturity,path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent optio...
The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options
Warrants executive stock options value of the firm risk-neutral
2010/9/7
This paper sets out to provide a risk-management tool (namely the distribution of the stock price of a warrantissuing firm) and at the same time resolves an outstanding issue between the theory and th...
Binomial Approximations for Barrier Options of Israeli Style
barrier game options Dynkin games shortfall risk binomial approximations Skorokhod embedding
2010/11/1
We show that prices and shortfall risks of game (Israeli) barrier options in a sequence of binomial approximations of the Black–Scholes (BS) market converge to the corresponding quantities for similar...
Path integral approach to Asian options in the Black-Scholes model
Path integral Asian options Black-Scholes model
2010/11/1
We derive a closed-form solution for the price of an average price as well as an average strike
geometric Asian option, by making use of the path integral formulation. Our results are compared to a n...
Optimal Aid in Environmental Policy A Real Options Approach
external effect direct aid social welfare environmental policy
2009/5/6
In this paper, we analyze an environmental policy that is designed to reduce the emission of pollutants when there is uncertainty over the social costs of environmental damage.We first establish a mod...
Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models
L´ evy processes Wiener–Hopf factorization exotic options
2010/11/2
This paper considers the valuation of exotic path-dependent options in L´evy models, in particular options on the supremum and the infimum of the asset price process. Using the Wiener–Hopf facto...
Perfect and partial hedging for swing game options in discrete time
game options discrete time
2010/11/1
The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without re...
Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
Econophysics Financial risk European options Fat-tailed distributions Student’s t-distribution
2010/11/1
The distribution of the returns for a stock are not well described by a normal probability density function (pdf). Student’s t -distributions, which have fat tails, are known to fit the distributions ...
Probabilities of Positive Returns and Values of Call Options
Black-Scholes formula probability of positive return growth rate of stock price
2010/11/3
The true probability of a European call option to achieve positive return is investigated under the Black-Scholes model. It is found that the probability is determined by those market factors appearin...
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models
Probabilistic representations asset price linear stochastic volatility models
2010/11/2
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models。
Continuously monitored barrier options under Markov processes
Continuously monitored barrier options Markov processes
2010/11/2
In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely...
Strict Local Martingale Deflators and Pricing American Call-Type Options
Strict local martingales deflators American call options
2010/11/2
We solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question prop...
Law of the exponential functional of one-sided Lévy processes and Asian options
L´ evy processes exponential functional special functions
2010/11/1
The purpose of this note is to describe, in terms of a power series, the distribution function
of the exponential functional, taken at some independent exponential time, of a spectrally negative L&ac...
The number of multi-currency exotic options is large and growing. They naturally appeal to large international corporations who need to hedge their exposures in different currencies. Multi-currency op...