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Pricing European options and risk measurement under exponential Lévy models : a practical guide
Salhi, Khaled - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-36
Persistent link: https://www.econbiz.de/10011777826
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Evaluation of options using the Monte Carlo method and the entropy of information
Brătian, Vasile - In: Expert journal of economics 6 (2018) 2, pp. 35-43
options using the Monte Carlo method and the measurement of the entropy of information for the price of the underlying asset … is made using the Feynman-Kač theorem. The distribution we use is lognormal. Also, in the paper is measured the entropy … of information of Shannon type. The measurement of the entropy of information of the stock market price of the underlying …
Persistent link: https://www.econbiz.de/10012062932
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Game theoretic analysis of incomplete markets : emergence of probabilities, nonlinear and fractional Black-Scholes equations
Kolokolʹcov, Vassilij N. - In: Risk and decision analysis 4 (2013) 3, pp. 131-161
Persistent link: https://www.econbiz.de/10010190161
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Closed-Form Solutions for Options in Incomplete Markets
Floroiu, Oana - 2014
This paper reconsiders the predictions of the standard option pricing models in the context of incomplete markets. We relax the completeness assumption of the Black-Scholes (1973) model and as an immediate consequence we can no longer construct a replicating portfolio to price the option....
Persistent link: https://www.econbiz.de/10013066164
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Closed-Form Solutions for Options in Incomplete Markets
Floroiu, Oana - 2013
This paper reconsiders the predictions of the standard option pricing models in the context of incomplete markets. We relax the completeness assumption of the Black-Scholes (1973) model and as an immediate consequence we can no longer construct a replicating portfolio to price the option....
Persistent link: https://www.econbiz.de/10013086970
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Vanilla Option Pricing in Stochastic Volatility Market Models
Dell'Era, Mario - 2019
We want to discuss the option pricing in stochastic volatility market models, in which we consider a generic function B (vt) for the drift of the volatility process. It is our intention to choose any equivalent martingale measure, such that, the drift of the volatility process, with respect to...
Persistent link: https://www.econbiz.de/10012905866
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Superhedging prices of European and American options in a non-linear incomplete market with default
Grigorova, Miryana; Quenez, Marie-Clair; Sulem, Agnès - 2018
This paper studies the superhedging prices and the associated superhedging strategies for European and American options in a non-linear incomplete market with default. We present the seller's and the buyer's point of view. The underlying market model consists of a risk-free asset and a risky...
Persistent link: https://www.econbiz.de/10011957094
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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From stochastic dominance to Black-Scholes : an alternative option pricing paradigm
Oancea, Michael; Perrakis, Stylianos - In: Risk and decision analysis 5 (2014) 2/3, pp. 99-112
Persistent link: https://www.econbiz.de/10011285063
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Coupling and option price comparisons in a jumb-diffusion model
Henderson, Vicky; Hobson, David G. - 2002
Persistent link: https://www.econbiz.de/10009581663