ARBITRAGE-FREE OPTION PRICING MODELS

Option Pricing, Arbitrage and Martingales

This paper provides a short introduction into the mathematical foundations of the theory of valuing derivative securities. We discuss the mathematical setting of option price theory and derive the relationship between no-arbitrage and mar-tingales. We provide examples how this theory can be applied to equity and foreign-exchange derivatives. We also explain how the theory can be applied to inte...

Option pricing in a world with arbitrage

We discuss option pricing problems under a new model of stock fluctuations. This model captures the information distribution among investors by adjoining a hidden Markov process to the Black-Scholes exponential Brownian motion model. We provide new valuations for various standard hedge options, such as European, perpetual American and look-back options.

Arbitrage-free pricing of XVA

option pricing models

this paper is a translation of a chapter of the hook written by jonathan e. ingersoll jr. the farsi translation will he of great help to iranian students studying option pricing models.

Option Pricing on Commodity Prices Using Jump Diffusion Models

In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...