نتایج جستجو برای: call option
تعداد نتایج: 169907 فیلتر نتایج به سال:
In the present investigation, the fully implicit and Crank–Nicolson difference schemes for solving option prices are analyzed. It is proved that the error expansions for the difference methods have the correct form for applying Richardson extrapolation to increase the order of accuracy of the approximations. The difference methods are applied to European, American, and down-and-out knock-out ca...
This study investigates the lead-lag relationship between the option and stock markets for 17 trading-days prior to substantial earnings surprises, using the Berkeley options data base, changes in put-call parity, and a control option methodology. Before the passage of the Insider Trading Sanctions Act (ITSA) in 1984, the options market leads the stock market prior to negative surprises but tha...
In this paper we derive Fourier transforms for double sided Parisian option contracts. The double sided Parisian option contract is triggered by the stock price process spending some time above an upper level or below some lower level. The double sided Parisian knock-in call contract is the general type of Parisian contract from which all the one-sided contract types follow. We also discuss the...
In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the construction of a riskless hedge-portfolio to valuate the option is unfeasible and therefore the pricing ...
We solve the following three optimal stopping problems for different kinds of options, based on the Black–Scholes model of stock fluctuations. (i) The perpetual lookback American option for the running maximum of the stock price during the life of the option. This problem is more difficult than the closely related one for the Russian option, and we show that for a class of utility functions the...
This paper describes a practical simulation-based algorithm, which we call the Stochastic Grid Bundling Method (SGBM) for pricing multidimensional Bermudan (i.e. discretely exercisable) options. The method generates a direct estimator of the option price, an optimal early-exercise policy as well as a lower bound value for the option price. An advantage of SGBM is that the method can be used for...
A general framework is developed to treat optimal control problems for a generalized BlackScholes model, which is used for option pricing. The volatility function is retrieved from a set of market observations. The optimal volatility function is found by minimizing the cost functional measuring the discrepancy between the model solution (pricing) and the observed market price, via the unconstra...
In this paper, we provide an option pricing formula based on an arbitrarily given stock distribution, where the problem of optimally hedging the payoo on a European call option is considered through a self-nancing trading strategy. An optimal hedging problem is solved on a trinomial lattice by assigning suitable probabilities on the lattice, where the underlying stock price distribution is deri...
Maximum Relative Drawdown measures the largest percentage drop of the price process on a given time interval. Recently, Maximum Relative Drawdown has become more popular as an alternative measure of risk. In contrast to the Value at Risk measure, it captures the path property of the price process. In this article, we propose a partial differential equation approach to determine the theoretical ...
We consider the geometric Markov renewal processes as a model for a security market and study this processes in a diffusion approximation scheme. Weak convergence analysis and rates of convergence of ergodic geometric Markov renewal processes in diffusion scheme are presented. We present European call option pricing formulas in the case of ergodic, double-averaged, and merged diffusion geometri...
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