Comparing Discrete-Time and Continuous-Time Option Valuation Models
نویسندگان
چکیده
منابع مشابه
Liquidity Models in Continuous and Discrete Time
We survey several models of liquidity and liquidity related problems such as optimal execution of a large order, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with price manipulation strategies. 1.1 What Is Illiquidity? The study of liquidity in financial markets either invokes the ease with which financial securities can ...
متن کاملDiscrete-Time Continuous-State Interest Rate Models
We show how to implement arbitrage-free models of the short-term interest rate in a discretetime setting that allows a continuum of rates at any particular date. Discrete time allows approximate pricing of interest rate contingent claims that cannot be valued in continuous-time models. It is usually associated with discrete states, with possible interest rates restricted to a limited number of ...
متن کاملDiscrete-Time versus Continuous-Time Models of Neural Networks
In mathematical modeling, very often discrete-time (DT) models are taken from, or can be viewed as numerical discretizations of, certain continuous-time (CT) models. In this paper, a general criterion, the asymptotic consistency criterion, for these DT models to inherit the dynamical behavior of their CT counterparts is derived. Detailed instances of this criterion are established for several c...
متن کاملOption Valuation using Fourier Space Time Stepping
It is well known that the Black-Scholes-Merton model suffers from several deficiencies. Jumpdiffusion and Lévy models have been widely used to partially alleviate some of the biases inherent in this classical model. Unfortunately, the resulting pricing problem requires solving a more difficult partial-integro differential equation (PIDE) and although several approaches for solving the PIDE have...
متن کاملContinuous-Time Option Games: Review of Models and Extensions
Abstract The theory of option games being the combination of two successful theories, namely real options and game theory, has a great potential to applications in many real situations. Although the option games literature is very recent, it has been experimenting a fast growth in the last five years. It considers in the same model, besides the key factors for investment decisions such as uncer...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.686823