The pricing of options for securities markets with delayed response
نویسندگان
چکیده
The analogue of Black–Scholes formula for vanilla call option price in conditions of (B, S)-securities market with delayed response is derived. A special case of continuous-time version of GARCH is considered. The results are compared with the results of Black and Scholes. © 2006 IMACS. Published by Elsevier B.V. All rights reserved.
منابع مشابه
Applicability of Capital Assets Pricing Model (CAPM) on Pakistan Stock Markets
Capital Assets Pricing Model is used as a tool for the estimation of Investments in Capital Markets with the relation of Expected return and Risk on Securities. This study examines the applicability of CAPM on Pakistan Stock Markets and Karachi Stock Exchange being the main capital market of Pakistan is taken for the study. The analysis is done by taking a sample of 10 performing companies of 1...
متن کاملSpanning and Completeness with Options
The role of ordinary options in facilitating the completion of securities markets is examined in the context of a model of contingent claims sufficiently general to accommodate the continuous distributions of asset pricing theory and option pricing theory. In this context, it is shown that call options written on a single security approximately span all contingent claims written on this securit...
متن کاملMarket Clearing and Derivative Pricing
We develop a method of assigning unique prices to derivative securities, including options, in the continuous-time finance model developed in Raimondo [45]. In contrast with the martingale method of valuing options, which cannot distinguish among infinitely many possible option pricing processes for a given underlying securities price process when markets are dynamically incomplete, our option ...
متن کاملPricing Approaches for Investment Companies
The main business of an investment company is to hold and manage securities for investment purposes. In today competitive market Pricing and its methodology are complicated motions. It is very important to define a price that can prevail the competition in an open and free market. In order to define the price certain circumstances should be considered. In the academic arena there have been seve...
متن کاملPricing derivative securities pdf
This article shows that the one-state-variable interest-rate models of.There are an enormous number of derivative securities being traded in financial markets. And just define those securities that we shall be pricing. Definition.We present a model for pricing and hedging derivative securities and option portfolios in an. In this equation, the pricing volatility is selected dynamically from.Bec...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
- Mathematics and Computers in Simulation
دوره 75 شماره
صفحات -
تاریخ انتشار 2007