搜索结果: 1-7 共查到“价格学 Option”相关记录7条 . 查询时间(0.094 秒)
European Option Pricing with Liquidity Shocks
liquidity shock indifference price exponential utility maximization
2012/6/2
We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to tr...
CDS options allow investors to express a view on spread volatility and obtain a wider range of payoffs than are possible with vanilla CDS. We give a detailed exposition of different types of single-na...
Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance
Stochastic control generalized verification theorem portfolio optimization indifference pricing exponential forward performance
2012/3/2
This work focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential forward measure, th...
A Fourier transform method for spread option pricing
Spread options multivariate spread options jump-diffusions fast Fourier transform gamma function
2010/10/29
Spread options are a fundamental class of derivative contract written on multiple assets,
and are widely used in a range of financial markets. There is a long history of approximation
methods for co...
Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model
Black–Scholes option pricing adaptive nonlinear Schr¨odinger equation
2010/11/2
A nonlinear wave alternative for the standard Black–Scholes option–pricing model is
presented. The adaptive-wave model, representing controlled Brownian behavior of financial
markets, is formally de...
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
Econophysics Stochastic Volatility Monte Carlo Simulation Option Pricing Model Calibration
2010/11/1
We consider the problem of option pricing under stochastic volatility models, focusing on
the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck
and Stein-Stein.
Risk-neutral and Physical Jumps in Option Pricing
Option Pricing price dynamics physical jumps
2011/4/6
When jumps are present in the price dynamics of the underlying asset, the market is no longer complete, and a more general pricing framework than the risk-neutral valuation is needed. Using Monte Carl...