This paper introduces an option pricing algorithm based on non-orthogonal series expansion methods. More precisely …, Gabor frame decomposition is used to split the risk neutral option pricing formula into the sum of two inner products that …

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 …

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 …

effect of each model on the prediction of the current options prices, using the regression analysis, and the Nifty50 option …

A new method to retrieve the risk-neutral probability measure from observed option prices is developed and a closed … financial returns. The expansion coefficients can be calibrated from observed option prices and can also be computed, for … the properties of the new option pricing model by calibrating it to both real-world and simulated option prices and find …