The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset …

corresponding symmetric put options. First, by comparing performance for pairs of call and (symmetric) put options for which the … long maturity call options on highly volatile assets. Finally, we show that our findings are not particular to using in …

ratios for both the underlying and call options as hedge instruments. We derive semi-analytical formulas for optimal hedge …

parameters to the American style S&P 100 index options market, using the least square regression method. Moreover, we discuss … path-dependent options, such as Asian and Barrier options. …

, this paper addresses the asymptotic behavior of American put options on a dividend-paying underlying with stochastic … quite reasonable approximations for options with remaining times to expiry in the order of days or weeks. …

Gold is a universal commodity traded across the world. The London Bullion Market Association (LBMA) fixes prices twice … a day, known as AM and PM fix prices. This study is an attempt to find out whether the volume of gold consumption shows … any significant impact on the world gold prices, known as LBMA fix prices. The sample includes major gold …

exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local …Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant … that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most …

in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level … data from OPRA (The Options Price Reporting Authority), we study the options volume, spreads, pricing measures and option … significant, economic magnitudes of our results suggest that the impact of the ban on the equity options market was likely not as …

This paper proposes a new method for pricing American options that uses importance sampling to reduce estimator bias …