Multi-criteria classification for pricing European options
نویسندگان
چکیده
منابع مشابه
Pricing European Options without Probability∗
It is well known that in the case where the stock price St is governed by the equation dSt/St = μdt + σdWt, any European option satisfying weak regularity conditions has a fair price (the Black—Scholes formula and its generalizations). We consider the case where no probabilistic assumptions are made about St; instead, we assume that the derivative security D which pays a dividend of (dSt/St) (t...
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European options can be priced using the analytical solution of the Black-Scholes-Merton differential equation with the appropriate boundary conditions. A different approach and the one commonly used in situations where no analytical solution is available is the Monte Carlo Simulation. We present the results of Monte Carlo simulations for pricing European options and we compare with the analyti...
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We investigate the relation between the fair price for European-style vanilla options and the probability of short-term returns on the underlying asset in the absence of transaction costs. If the asset’s future price has finite expectation, the option’s fair value satisfies a parabolic partial differential equation of the Black-Scholes type in the absence of arbitrage opportunities. However, th...
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Designing the way a complex system should evolve to better match the customers’ requirements provides an interesting class of applications for muticriteria techniques. The required models to support the improvement design of a complex system must include both preference models and system behavioral models. A MAUT model captures the decisions related to customers’ preferences whereas a fuzzy rep...
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ژورنال
عنوان ژورنال: Studies in Nonlinear Dynamics & Econometrics
سال: 2015
ISSN: 1558-3708,1081-1826
DOI: 10.1515/snde-2014-0094