Exact solutions for a strike reset put option and a shout call option
نویسندگان
چکیده
منابع مشابه
The British Put Option
We present a new put option where the holder enjoys the early exercise feature of American options whereupon his payoff (deliverable immediately) is the ‘best prediction’ of the European payoff under the hypothesis that the true drift of the stock price equals a contract drift. Inherent in this is a protection feature which is key to the British put option. Should the option holder believe the ...
متن کاملPut option prices as joint distribution functions in strike and maturity : the Black-Scholes case
For a large class of R+ valued, continuous local martingales (Mt t ≥ 0), with M0 = 1 and M∞ = 0, the put quantity : ΠM(K, t) = E ( (K −Mt) ) turns out to be the distribution function in both variables K and t, for K ≤ 1 and t ≥ 0, of a probability γM on [0, 1]× [0,∞[. In this paper, the first in a series of three, we discuss in detail the case where Mt = Et := exp ( Bt − t 2 ) , for (Bt, t ≥ 0)...
متن کاملA Simple Numerical Method for Pricing an American Put Option
We present a simple numerical method to find the optimal exercise boundary in an American put option. We formulate an intermediate function with the fixed free boundary that has Lipschitz character near optimal exercise boundary. Employing it, we can easily determine the optimal exercise boundary by solving a quadratic equation in time-recursive way. We also present several numerical results wh...
متن کاملPut Option Premiums and Coherent Risk Measures
This note defines the premium of a put option on the firm as a measure of insolvency risk. The put premium is not a coherent risk measure as defined by Artzner et al. (1999). It satisfies all the axioms for a coherent risk measure except one, the translation invariance axiom. However, it satisfies a weakened version of the translation invariance axiom that we label translation monotonicity. The...
متن کاملNumerical 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.
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: Mathematical and Computer Modelling
سال: 2012
ISSN: 0895-7177
DOI: 10.1016/j.mcm.2011.11.033