Keyword: option pricing

Found 34 papers in total
A bilevel programming approach to double optimal stopping
A bilevel programming approach to double optimal stopping
2014,
This paper treats a class of double optimal stopping problems arising in the pricing...
Convergence analysis of power penalty method for American bond option pricing
Convergence analysis of power penalty method for American bond option pricing
2013,
This paper is concerned with the convergence analysis of power penalty method to...
Maximum‐loss, minimum‐win and the Esscher pricing principle
Maximum‐loss, minimum‐win and the Esscher pricing principle
2012,
Maximum‐loss (Max‐loss) was recently introduced as a valuation...
Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
2013,
We extend and generalize some results on bounding security prices under two stochastic...
Asymptotic expansion for pricing options for a mean‐reverting asset with multiscale stochastic volatility
Asymptotic expansion for pricing options for a mean‐reverting asset with multiscale stochastic volatility
2011,
The valuation of options for an asset which follows a mean‐reverting...
Option pricing under joint dynamics of interest rates, dividends, and stock prices
Option pricing under joint dynamics of interest rates, dividends, and stock prices
2011,
I propose a new option pricing model with stochastic interest rates. The model assumes...
Pricing cliquet options by tree methods
Pricing cliquet options by tree methods
2011,
This paper focuses on the problem of pricing the cliquet options which provide a...
On the Number of State Variables in Options Pricing
On the Number of State Variables in Options Pricing
2010,
In this paper, we investigate the methodological issue of determining the number of...
A graphical method for valuing switching options
A graphical method for valuing switching options
2010,
This paper introduces a graphical method for valuing options on real asset investments...
A dual approach to multiple exercise option problems under constraints
A dual approach to multiple exercise option problems under constraints
2010,
This paper considers the pricing of multiple exercise options in discrete time. This...
Implications of parameter uncertainty on option prices
Implications of parameter uncertainty on option prices
2010,
Financial markets are complex processes where investors interact to set prices. We...
Valuing multifactor real options using an implied binomial tree
Valuing multifactor real options using an implied binomial tree
2010,
This paper proposes an approach for solving a multifactor real options problem by...
Stochastic programming and the option of doing it differently
Stochastic programming and the option of doing it differently
2010,
Option theory and stochastic programming are tightly linked. Most options can be...
Pricing double-barrier options under a flexible jump diffusion model
Pricing double-barrier options under a flexible jump diffusion model
2009,
In this paper we present a Laplace transform-based analytical solution for pricing...
Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
2008,
In this paper we review the renowned constant elasticity of variance (CEV) option...
Option pricing under the Merton model of the short rate
Option pricing under the Merton model of the short rate
2009,
Previous option pricing research typically assumes that the risk-free rate or the...
A robust finite difference scheme for pricing American put options with Singularity-Separating method
A robust finite difference scheme for pricing American put options with Singularity-Separating method
2010,
In this paper we present a stable numerical method for the linear complementary...
American option pricing under stochastic volatility: an efficient numerical approach
American option pricing under stochastic volatility: an efficient numerical approach
2010,
This paper develops a new numerical technique to price an American option written upon...
American option pricing under stochastic volatility: an empirical evaluation
American option pricing under stochastic volatility: an empirical evaluation
2010,
Over the past few years, model complexity in quantitative finance has increased...
Computing option pricing models under transaction costs
Computing option pricing models under transaction costs
2010,
This paper deals with the Barles–Soner model arising in the hedging of...
Pricing vulnerable European options with stochastic default barriers
Pricing vulnerable European options with stochastic default barriers
2007,
This paper develops a valuation model of European options incorporating a stochastic...
On the effects of dimension reduction techniques on some high-dimensional problems in finance
On the effects of dimension reduction techniques on some high-dimensional problems in finance
2006,
Many problems in finance can be formulated as high-dimensional integrals, which are...
Risk hedging through forward supply contract and equity ownership in a spin-off decision
Risk hedging through forward supply contract and equity ownership in a spin-off decision
2007,
We consider the situation where a publicly traded firm is spinning off a subsidiary in...
Option pricing: valuation models and applications
Option pricing: valuation models and applications
2004,
This paper surveys the literature on option pricing from its origins to the present....
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