Mellin Transform Method for European Option Pricing with Hull-White Stochastic Interest Rate
نویسندگان
چکیده
منابع مشابه
Option pricing with Levy process using Mellin Transform
In this paper, we use Mellin transform to get the expression for the free boundary an price of an American finite-lived option, when the underlying is govern by the Levy process. We have also derived the free boundary and price of an American perpetual put as the limit of the preceded finite-lived option. We then show how to compute the price of an American option on a basket of stocks using Me...
متن کاملInterest Rate Option Pricing With Volatility Humps
This paper develops a simple model for pricing interest rate options. Analytical solutiorls are developed for European claims and extremely efficient algorithms exist for tile pricing of American opciolls. T h e interest rate claims are priced in the Heath-Jarrow-klorto~i paradigm, and hence illcorporate full information on the term structure. T h e volatility. structure for forward rates is hu...
متن کاملNumerical Solution of Pricing of European Put Option with Stochastic Volatility
In this paper, European option pricing with stochastic volatility forecasted by well known GARCH model is discussed in context of Indian financial market. The data of Reliance Ltd. stockprice from 3/01/2000 to 30/03/2009 is used and resulting partial differential equation is solved byCrank-Nicolson finite difference method for various interest rates and maturity in time. Thesensitivity measures...
متن کاملUsing Hull - White Interest - Rate Trees
The Hull-White tree-building procedure was first outlined in the Fall 1994 issue of Journal of Derivatives. It is becoming widely used by practitioners. This procedure is appropriate for models where there is some function x = f(r) of the short rate r that follows a meanreverting arithmetic process. It can be used to implement the Ho-Lee model, the HullWhite model, and the Black-Karasinski mode...
متن کاملAn Empirical Test of the Hull-White Option Pricing Model
The Black-Scholes (1973) option pricing model provides the foundation for the modern theory of options valuation. In actual applications, however, the model has certain well-known deficiencies. For example, when calibrated to accurately price at-the-money options the Black-Scholes (1973) model often misprices deep in-the-money and deep out-of-themoney options. This model-anomalous behavior give...
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: Journal of Applied Mathematics
سال: 2014
ISSN: 1110-757X,1687-0042
DOI: 10.1155/2014/759562