scholarly journals A General Closed Form Approximation Pricing Formula for Basket and Multi-Asset Spread Options

2016 ◽  
Vol 06 (05) ◽  
pp. 944-974 ◽  
Author(s):  
Tommaso Pellegrino
Keyword(s):  
Closed Form ◽  
Spread Options ◽  
Closed Form Approximation ◽  
Pricing Formula

A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY

2021 ◽  
pp. 1-10
Author(s):  
Puneet Pasricha ◽  
Anubha Goel
Keyword(s):  
Closed Form ◽  
Stochastic Volatility ◽  
Closed Form Solution ◽  
Form Solution ◽  
Stochastic Volatility Model ◽  
Strike Price ◽  
Volatility Model ◽  
Exchange Options ◽  
Pricing Formula ◽  
Exchange Option

This article derives a closed-form pricing formula for the European exchange option in a stochastic volatility framework. Firstly, with the Feynman–Kac theorem's application, we obtain a relation between the price of the European exchange option and a European vanilla call option with unit strike price under a doubly stochastic volatility model. Then, we obtain the closed-form solution for the vanilla option using the characteristic function. A key distinguishing feature of the proposed simplified approach is that it does not require a change of numeraire in contrast with the usual methods to price exchange options. Finally, through numerical experiments, the accuracy of the newly derived formula is verified by comparing with the results obtained using Monte Carlo simulations.

Closed Form Approximation of Swap Exposures

2013 ◽  
Author(s):  
Heikki Sepppll ◽  
Ser-Huang Poon ◽  
Thomas Schrrder
Keyword(s):  
Closed Form ◽  
Closed Form Approximation

Economic Capital Modeling Closed Form Approximation for Real-Time Applications

2014 ◽  
Author(s):  
Thomas Ribarits ◽  
Axel Clement ◽  
Heikki Sepppll ◽  
Hua Bai ◽  
Ser-Huang Poon
Keyword(s):  
Closed Form ◽  
Real Time ◽  
Economic Capital ◽  
Real Time Applications ◽  
Closed Form Approximation

scholarly journals A Closed-Form Approximation to the Distribution for the Sum of Independent Non-identically Generalized Gamma Variates and Applications

2021 ◽  
Vol 8 (1) ◽  
pp. 33-44
Author(s):  
Toufik Chaayra ◽  
Hussain Ben-azza ◽  
Faissal El Bouanani
Keyword(s):  
Closed Form ◽  
Fading Channels ◽  
Performance Metrics ◽  
Approximate Expression ◽  
Maximal Ratio Combining ◽  
Generalized Gamma ◽  
The Moment ◽  
Probability Density Function Pdf ◽  
Closed Form Approximation ◽  
Fox’S H Function

Evaluating the sum of independent and not necessarily identically distributed (i.n.i.d) random variables (RVs) is essential to study different variables linked to various scientific fields, particularly, in wireless communication channels. However, it is difficult to evaluate the distribution of this sum when the number of RVs increases. Consequently, the complex contour integral will be difficult to determine. Considering this issue, a more accurate approximation of the distribution function is required. By assuming the probability density function (PDF) of a generalized gamma (GG) RV evaluated in terms of a proper subset H1,0 1,1 class of Fox’s H-function (FHF) and the moment-based approximation to estimate the FHF parameters, a closed-form tight approximate expression for the distribution of the sum of i.n.i.d GG RVs and a sufficient condition for the convergence are investigated. The proposed approximate may be an analytical useful tool for analyzing the performance of certain numbers branch maximal-ratio combining receivers subject to GG fading channels. Hence, various closed-form performance metrics are derived and examined in terms of FHF. Numerical simulations are carried out to illustrate the theoretical results.

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