A FIRST-ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS

Numerical Solutions for Fractional Black-Scholes Option Pricing Equation

In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.

A New Stock Model for Option Pricing in Uncertain Environment

The option-pricing problem is always an important part in modern finance. Assuming that the stock diffusion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. In this paper, we propose a new stock model with uncertain stock diffusion for uncertain markets. Some option pricing formulas on...

Liquidity Risk and Classical Option Pricing Theory

The purpose of this paper is to review the recent derivatives security research involving liquidity risk and to summarize its implications for practical risk management. The literature supports three general conclusions. The first is that the classical option price is "on average" true, even given liquidity risk. Second, it is well known that although the classical (theoretical) option hedge ca...

A Classical First Order Language

The aim is to construct a language for the classical predicate calculus. The language is defined as a subset of the language constructed in [7]. Well-formed formulas of this language are defined and some usual connectives and quantifiers of [7], [1] are accordingly. We prove inductive and definitional schemes for formulas of our language. Substitution for individual variables in formulas of the...

Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model