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 … exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local …

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

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

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

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 …

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. …

traded options data from September 2009 to December 2018, we find that a partially linear model permitting a flexible … and execute volatility-based strategies using at-the-money options for its high liquidity. …

partial differential equation, and we also focus on an improved definition of the penalty term for American options. We …