Showing 1 - 10 of 12
This study presents an analytical exact solution for the price of VIX options under stochastic volatility model with simultaneous jumps in the asset price and volatility processes. We shall demonstrate that our new pricing formula can be used to efficiently compute the numerical values of a VIX...
Persistent link: https://www.econbiz.de/10010993488
In this paper, we introduce the concept of multi-stage compound options to the valuation of convertible bonds (CBs). Rather than evaluating a nested high-dimensional integral that has arisen from the valuation of multi-stage compound options, we found that adopting the finite difference method...
Persistent link: https://www.econbiz.de/10010873271
In this paper, we present a correction to Merton (1973)'s well-known classical case of pricing perpetual American put options by considering the same pricing problem under a stochastic volatility model with the assumption that the volatility is slowly varying. Two analytic formulae for the...
Persistent link: https://www.econbiz.de/10009415370
This paper reports on the development of a two-dimensional, fully nonlinear Computational Fluid Dynamics (CFD) model to analyse the efficiency of fixed Oscillating Water Column (OWC) Wave Energy Conversion (WEC) devices with linear power take off systems. The model was validated against previous...
Persistent link: https://www.econbiz.de/10010805589
Accurately as well as efficiently calculating the early exercise boundary is the key to the highly nonlinear problem of pricing American options. Many analytical approximations have been proposed in the past, aiming at improving the computational efficiency and the easiness of using the formula,...
Persistent link: https://www.econbiz.de/10004977430
In this paper, a new analytical formula as an approximation to the value of American put options and their optimal exercise boundary is presented. A transform is first introduced to better deal with the terminal condition and, most importantly, the optimal exercise price which is an unknown...
Persistent link: https://www.econbiz.de/10005060213
In this paper, an exact and explicit solution of the well-known Black-Scholes equation for the valuation of American put options is presented for the first time. To the best of the author's knowledge, a closed-form analytical formula has never been found for the valuation of American options of...
Persistent link: https://www.econbiz.de/10005462663
This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian motion; that is, the appreciation rate and the volatility of the underlying risky asset depend on unobservable states...
Persistent link: https://www.econbiz.de/10010800943
This paper investigates the pricing of European-style lookback options when the price dynamics of the underlying risky asset are assumed to follow a Markov-modulated Geo-metric Brownian motion; that is, the appreciation rate and the volatility of the underlying risky asset depend on unobservable...
Persistent link: https://www.econbiz.de/10010800947
In this paper, a new decomposition approach for valuing convertible bonds (CBs) is presented. Through developing an appropriate integral representation for the value of convertible bonds, we show that an extra premium associated with the holder’s early conversion right exists in addition to...
Persistent link: https://www.econbiz.de/10010593357