Combined Pricing and Portfolio Option Procurement
نویسندگان
چکیده
منابع مشابه
Combined Pricing and Portfolio Option Procurement
I n this paper, we study a single-product periodic-review inventory system that faces random and price-dependent demand. The firm can purchase the product either from option contracts or from the spot market. Different option contracts are offered by a set of suppliers with a two-part fee structure: a unit reservation cost and a unit exercising cost. The spot market price is random and its real...
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The Black Scholes model of option pricing constitutes the cornerstone of contemporary valuation theory. However, the model presupposes the existence of several unrealistic and rigid assumptions including, in particular, the constancy of the return on the “hedge portfolio”. There, now, subsists ample justification to the effect that this is not the case. Consequently, several generalisations of ...
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Part I proposes a numeraire-invariant option pricing framework. It defines an option, its price process, and such notions as option indistinguishability and equivalence, domination, payoff process, trigger option, and semipositive option. It develops some of their basic properties, including price transitivity law, indistinguishability results, convergence results, and, in relation to nonnegati...
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A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. The option prices are modeled by the Black-Scholes equation. The θ-method is used to discretize the equation ...
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ژورنال
عنوان ژورنال: Production and Operations Management
سال: 2011
ISSN: 1059-1478
DOI: 10.1111/j.1937-5956.2011.01255.x