منابع مشابه
Pricing complexity options
We consider options that pay the complexity deficiency of a sequence of up and down ticks of a stock upon exercise. We study the price of European and American versions of this option numerically for automatic complexity, and theoretically for Kolmogorov complexity. We also consider run complexity, which is a restricted form of automatic complexity.
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We use the basic binomial option pricing method but allow someor all the parameters in the model to be uncertain and model this uncertaintyusing fuzzy numbers. We show that with the fuzzy model we can, with areasonably small number of steps, consider almost all possible future stockprices; whereas the crisp model can consider only n + 1 prices after n steps.
متن کاملPricing Parisian Options
Parisian options are barrier options for which the knock-in/knock-out feature is only activated after the price process has spent a certain prescribed, consecutive time beyond the barrier. This specification has two motivations: First, there is the need to make the option more robust against short-term movements of the share price. This is achieved in Parisian options where it is ensured that a...
متن کاملPricing Rainbow Options
A previous paper (West 2005) tackled the issue of calculating accurate uni-, biand trivariate normal probabilities. This has important applications in the pricing of multi-asset options, e.g. rainbow options. In this paper, we derive the Black–Scholes prices of several styles of (multi-asset) rainbow options using change-of-numeraire machinery. Hedging issues and deviations from the Black-Schol...
متن کاملPricing Interest Rate Options
We price moneyness-based portfolio returns on the LIBOR futures options in an Intertemporal CAPM framework as an extension of the pricing kernel approach. In contrast to existing studies for pricing index options, our results show that only the real interest rate is significant in the pricing kernel for LIBOR options. The polynomial pricing kernel with linear interpretation outperforms the iso-...
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ژورنال
عنوان ژورنال: Algorithmic Finance
سال: 2015
ISSN: 2158-5571,2157-6203
DOI: 10.3233/af-150050