Options pricing model parameters are inherently imprecise due to fluctuations in the real-world financial market. Traditional option pricing methods do not account for the uncertainty in parameters, but the fuzzy set theory may be applicable. This paper proposes a cash-or-nothing European call binary option pricing model based on the hypothesis that the underlying asset price, risk-free rate of...

In this paper we analyze a nonlinear generalization of the Black-Scholes equation for pricing American style call option in which the volatility may depend on the underlying asset price and the Gamma of the option. We propose a novel method of pricing American style call options by means of transformation of the free boundary problem for a nonlinear Black-Scholes equation into the so-called Gam...

Line 5 in the first paragraph of [1] under the section Option basics appeared as follows: “A call option gives the buyer of the option the right to buy the underlying asset at a fixed price (strike price or K) at any time prior to the expiration date of the option.” It is commonplace in derivatives literature to denote the strike or exercise price as K (e.g., refer to http://www.duke.edu/∼charv...

The reload provision in an employee stock option entitles its holder to receive one new (reload) option from the employer for each share tendered as payment of strike upon the exercise of the stock option. The number of reloads allowed can be finite or infinite. The shout feature in a call option allows its holder to reset the option’s strike price to the prevailing stock price upon shouting. W...

It is common for firms to issue or purchase options on the firm’s own stock. Examples include convertible bonds, warrants, call options as employee compensation, and the sale of put options as part of share repurchase programs. This paper shows that option positions with implicit borrowing—such as put sales and call purchases—are tax-disadvantaged relative to the equivalent synthetic option wit...

We consider option hedging and pricing for a large agent. The large agent affects the market’s demand-supply equilibrium and, therefore, the market prices of financial instruments. By assuming a specific large agent’s effect function for the underlying asset we derive the corresponding effect function for call options on that asset. As we show, the price of a call option in our model is the sol...

We consider option hedging and pricing for a large agent. The large agent affects the market’s demand-supply equilibrium and, therefore, the market prices of financial instruments. By assuming a specific large agent’s effect function for the underlying asset we derive the corresponding effect function for call options on that asset. As we show, the price of a call option in our model is the sol...