scholarly journals Numerical Analysis for Spread Option Pricing Model in Illiquid underlying Asset Market: Full Feedback Model

2016 ◽  
Vol 10 (4) ◽  
pp. 1271-1281
Author(s):  
A. R. Yazdanian ◽  
Traian A. Pirv
Keyword(s):  
Numerical Analysis ◽  
Option Pricing ◽  
Asset Market ◽  
Pricing Model ◽  
Underlying Asset ◽  
Feedback Model ◽  
Option Pricing Model ◽  
Spread Option

scholarly journals Good Volatility, Bad Volatility, and Option Pricing

2018 ◽  
Vol 54 (2) ◽  
pp. 695-727 ◽  
Author(s):  
Bruno Feunou ◽  
Cédric Okou
Keyword(s):  
Option Pricing ◽  
Stock Price ◽  
Asset Price ◽  
Jump Diffusion ◽  
Quadratic Variation ◽  
Pricing Model ◽  
Economic Gain ◽  
Underlying Asset ◽  
Model Free ◽  
Option Pricing Model

Advances in variance analysis permit the splitting of the total quadratic variation of a jump-diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. To appraise the economic gain of this decomposition, we design a new and flexible option pricing model in which the underlying asset price exhibits distinct upside and downside semivariance dynamics driven by the model-free proxies of the variances. The new model outperforms common benchmarks, especially the alternative that splits the quadratic variation into diffusive and jump components.

scholarly journals Optimal Geometric Mean Returns of Stocks and Their Options

2012 ◽  
Vol 2012 ◽  
pp. 1-8 ◽  
Author(s):  
Guoyi Zhang
Keyword(s):  
Option Pricing ◽  
Simulation Study ◽  
Stochastic Models ◽  
Geometric Mean ◽  
Pricing Model ◽  
Underlying Asset ◽  
Kelly Criterion ◽  
Option Pricing Model

The optimal geometric mean return is an important property of an asset. As a derivative of the underlying asset, the option also has this property. In this paper, we show that the optimal geometric mean returns of a stock and its option are the same from Kelly criterion. It is proved by using binomial option pricing model and continuous stochastic models with self-financing assumption. A simulation study reveals the same result for the continuous option pricing model.

scholarly journals The Pricing of Double Trigger Catastrophe Put Option with Default Risk

2020 ◽  
pp. 38-50
Author(s):  
Linzhi Jiao ◽  
Zhenhua Bao
Keyword(s):  
Numerical Analysis ◽  
Option Pricing ◽  
Default Risk ◽  
Rate Process ◽  
Pricing Model ◽  
Put Option ◽  
Option Pricing Model ◽  
The Interest Rate ◽  
Value Changes ◽  
Coupon Bond

This study was present a catastrophe put option pricing model that considers default risk. The default of the option issuer can occur at any time before the maturity, and there is a correlation between the total assets of the option issuer, the underlying stock and the zero coupon bond. The explicit solution of option pricing is obtained when the interest rate process follows the Vasicek model and relevant proofs are given. Finally, the value changes under different parameters are discussed through a numerical analysis.

An analytical approximation for the GARCH option pricing model

1999 ◽  
Vol 2 (4) ◽  
pp. 75-116 ◽  
Author(s):  
Jin-Chuan Duan ◽  
Geneviève Gauthier ◽  
Jean-Guy Simonato
Keyword(s):  
Option Pricing ◽  
Analytical Approximation ◽  
Pricing Model ◽  
Option Pricing Model
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