The Pricing of Dual-Expiry Exotics with Mean Reversion and Jumps
نویسندگان
چکیده
منابع مشابه
Option pricing with mean reversion and stochastic volatility
Many underlying assets of option contracts, such as currencies, commodities, energy, temperature and even some stocks, exhibit both mean reversion and stochastic volatility. This paper investigates the valuation of options when the underlying asset follows a mean-reverting lognormal process with stochastic volatility. A closed-form solution is derived for European options by means of Fourier tr...
متن کاملStochastic Models of Energy Commodity Prices and Their Applications: Mean-reversion with Jumps and Spikes
In this paper, we present several mean-reversion jump di usion models to describe energy commodity spot prices. We incorporate multiple jumps, regime-switching and stochastic volatility in these models. Prices of various energy commodity derivatives are obtained under each model. We show how the electricity derivatives can be used to evaluate generation and transmission capacity. We also show f...
متن کاملthe evaluation of language related engagment and task related engagment with the purpose of investigating the effect of metatalk and task typology
abstract while task-based instruction is considered as the most effective way to learn a language in the related literature, it is oversimplified on various grounds. different variables may affect how students are engaged with not only the language but also with the task itself. the present study was conducted to investigate language and task related engagement on the basis of the task typolog...
15 صفحه اول“petroleum Concessions with Extendible Options Using Mean Reversion with Jumps to Model Oil Prices”
The holder of a petroleum exploration concession has an investment option until the expiration date fixed by the governmental agency, in some countries these rights can be extended by additional cost. The value of these rights and the optimal investment timing are calculated by solving a stochastic optimal control problem of an American call option with extendible maturities. The uncertainty of...
متن کاملOption Pricing with Jumps
The double barrier option is characterized by pay-off with strike K, maturity T, upper Su and lower Sd barrier levels and the corresponding rebates φu and φd which can be time dependent. We divide last four quantities by strike K and introduce new variables x = ln(S/K), xu = ln(Su/K), xd = ln(Sd/K). The value of European double barrier call option U(t, x) satisfies the extended Black-Scholes eq...
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: Journal of Mathematical Finance
سال: 2019
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2019.91003