On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile.
Jandačka, Martin, Ševčovič, Daniel (2005)
Journal of Applied Mathematics
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Displaying similar documents to “Recovery of time-dependent parameters of a Black-Scholes-type equation: An inverse Stieltjes moment approach.”
On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile.
Option pricing in a CEV model with liquidity costs
Krzysztof Turek (2016)
Applicationes Mathematicae
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The goal of this paper is to make an attempt to generalise the model of pricing European options with an illiquid underlying asset considered by Rogers and Singh (2010). We assume that an investor's decisions have only a temporary effect on the price, which is proportional to the square of the change of the number of asset units in the investor's portfolio. We also assume that the underlying asset price follows a CEV model. To prove existence and uniqueness of the solution, we use techniques...
Integral price formulas for lookback options.
Xu, Chenglong, Kwok, Yue Kuen (2005)
Journal of Applied Mathematics
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Generation of predictive price and trading volume patterns in a model of dynamically evolving free market supply and demand.
Wang, J.K. (2001)
Discrete Dynamics in Nature and Society
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Computational exploration of the biological basis of Black-Scholes expected utility function.
Bhattacharya, Sukanto, Kumar, Kuldeep (2007)
Journal of Applied Mathematics and Decision Sciences
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A time-series approach to non-self-financing hedging in a discrete-time incomplete market.
Josephy, N., Kimball, L., Steblovskaya, V. (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Are volatility indices in international stock markets forward looking?
María Teresa González, Alfonso Novales (2009)
RACSAM
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Selecting the best forecasting-implied volatility model using genetic programming.
Abdelmalek, Wafa, Ben Hamida, Sana, Abid, Fathi (2009)
Journal of Applied Mathematics and Decision Sciences
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Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
P.-L. Lions, J.-M. Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
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The numerical valuation of options with underlying jumps.
Meyer, G.H. (1998)
Acta Mathematica Universitatis Comenianae. New Series
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Evaluating Total Operational Value and Associated Risks of Financial Holding Companies in Taiwan
Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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DG method for the numerical pricing of two-asset European-style Asian options with fixed strike
Jiří Hozman, Tomáš Tichý (2017)
Applications of Mathematics
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The evaluation of option premium is a very delicate issue arising from the assumptions made under a financial market model, and pricing of a wide range of options is generally feasible only when numerical methods are involved. This paper is based on our recent research on numerical pricing of path-dependent multi-asset options and extends these results also to the case of Asian options with fixed strike. First, we recall the three-dimensional backward parabolic PDE describing the evolution...
Implications of parameter uncertainty on option prices.
Lindström, Erik (2010)
Advances in Decision Sciences
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Pricing forward-start options in the HJM framework; evidence from the Polish market
P. Sztuba, A. Weron (2001)
Applicationes Mathematicae
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We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.