Option returns versus asset-pricing theory: Evidence from the European option market
نویسندگان
چکیده
منابع مشابه
Option Pricing with an Illiquid Underlying Asset Market∗
We examine how price impact in the underlying asset market affects the replication of a European contingent claim. We obtain a generalized Black-Scholes pricing PDE and establish the existence and uniqueness of a classical solution to this PDE. We show that unlike the case with transaction costs, replication in the presence of price impact is always cheaper than superreplication. This model imp...
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We consider several Frequently Asked Questions (FAQ’s) in option pricing theory. I thank Ajay Khanna and Carol Marquardt for their comments.
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In this paper we consider the European continuous installment call option. Then its linear complementarity formulation is given. Writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. Finally finite element method is applied to price the European continuous installment call option.
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ژورنال
عنوان ژورنال: Journal of Derivatives & Hedge Funds
سال: 2007
ISSN: 1753-965X
DOI: 10.1057/palgrave.jdhf.1850065