منابع مشابه
The Performance of VIX Options Pricing Models: Empirical Evidence Beyond Simulation
Several VIX options pricing models exist in the literature. However, no empirical study examines the pricing efficiency of these models using market-based data. We fill this gap by using three representative models to price VIX options. We find that (1) Black-Scholestype models by Whaley (1993) and Carr and Lee (2007) price deep-in-the-money options very well and price in-the-money options reas...
متن کاملPricing Bounds for VIX Derivatives via Least Squares Monte Carlo
Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating the square root of the expected realised variance which cannot be computed by direct Monte Carlo methods. Least squares Monte Carlo methods can be used but the sign of the error is difficult to determine. In this pap...
متن کاملPRICING STOCK OPTIONS USING FUZZY SETS
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 of drugs and donations: options for sustainable equity pricing.
Effective medicines exist to treat or alleviate many diseases which predominate in the developing world and cause high mortality and morbidity rates. Price should not be an obstacle preventing access to these medicines. Increasingly, drug donations have been established by drug companies, but these are often limited in time, place or use. Measures exist which are more sustainable and will have ...
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 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: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2508646