منابع مشابه
Singular Perturbations in Option Pricing
After the celebrated Black-Scholes formula for pricing call options under constant volatility, the need for more general nonconstant volatility models in financial mathematics has been the motivation of numerous works during the Eighties and Nineties. In particular, a lot of attention has been paid to stochastic volatility models where the volatility is randomly fluctuating driven by an additio...
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The option-pricing problem is always an important part in modern finance. Assuming that the stock diffusion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. In this paper, we propose a new stock model with uncertain stock diffusion for uncertain markets. Some option pricing formulas on...
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In this paper we distinguish between operational risks depending on whether the operational risk naturally arises in the context of model risk. As the pricing model exposes itself to operational errors whenever it updates and improves its investment model and other related parameters. In this case, it is no longer optimal to implement the best model. Generally, an option is exercised in a jump-...
متن کاملoption pricing models
this paper is a translation of a chapter of the hook written by jonathan e. ingersoll jr. the farsi translation will he of great help to iranian students studying option pricing models.
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ژورنال
عنوان ژورنال: SIAM Journal on Applied Mathematics
سال: 2003
ISSN: 0036-1399,1095-712X
DOI: 10.1137/s0036139902401550