option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. The paper is …

Closed-form pricing formulae and option Greeks are obtained for European-type options using an orthogonal polynomial …

option and sells a weighted average of European calls on each asset. In this case, the following important question arises …

In this paper, I have used simple arbitrage argument to derive a dozen of model-free option price properties. In … view, a European call (put) option for a non-dividend-paying asset can also be a European call (put) option for any other … non-dividend-paying asset, and every non-dividend-paying asset is also both a European call option and a European put …

An option market maker incurs funding costs when carrying and hedging inventory. To hedge a net long delta inventory … (borrowed cash and invested cash earning different interest rates) and realistic stock financing cost into the classic option … pricing theory. It is shown that an option position can be dynamically replicated and self financed in the presence of these …

derivation of the BSE and the other the pricing definition of the option. In this paper, we show how the ambiguities in … option price based on market risk. We define random market price of the option for each market scenario. The option premium …

frictions, can generate option prices and implied volatilities that are in line with those of the average optionable stock. As …

pricing approach is that we interpret price of the option as a settlement price between buyer and seller of the option while … benchmark approach pricing defines option price as settlement between borrower and option buyer. This paper represents a Journal … most significant changes was done for 'a chooser or as-you-like' option model …