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Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing

Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …

Persistent link: https://www.econbiz.de/10012484130

Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options

İltüzer, Zeynep - In: Borsa Istanbul Review 22 (2022) 4, pp. 725-742

) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in … pricing options, GARCH (Generalized Autoregressive Conditional Heteroskedasticity), implied volatility, historical volatility …, and implied volatility index (VBI) are used to determine the best volatility approach for pricing options according to …

Persistent link: https://www.econbiz.de/10013334825

Options pricing by Monte Carlo simulation, binomial tree and BMS model : a comparative study

Bendob, Ali; Bentouir, Naima - In: Journal of banking and financial economics 1 (2019) 11, pp. 79-95

categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation … method is outperforming when the volatility is lower, while the Black-Sholes model and the Binomial model are outperforming …

Persistent link: https://www.econbiz.de/10012115106

Option volume and stock returns : evidence from single stock options on the Korea Exchange

Woo, Mincheol; Kim, Meong Ae - In: Journal of derivatives and quantitative studies : … 29 (2021) 4, pp. 280-300

Informed traders may prefer the options market to the stock market for reasons including the leverage effect, transaction costs, restrictions on short sale. Many studies try to predict future returns of stocks using informed traders' behavior in the options market. In this study, we examine...

Persistent link: https://www.econbiz.de/10012658766

Pricing perpetual American put options with asset-dependent discounting

Al-Hadad, Jonas; Palmowski, Zbigniew - In: Journal of risk and financial management : JRFM 14 (2021) 3, pp. 1-19

The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can be described as VωAPut(s)=supτ∈TEs[e−∫0τω(Sw)dw(K−Sτ)+], where T is a family of stopping times, ω is...

Persistent link: https://www.econbiz.de/10012520043

A quasi-closed-form solution for the valuation of American put options

Viegas, Christina; Azevedo-Pereira, José - In: International Journal of Financial Studies : open … 8 (2020) 4/62, pp. 1-10

This study develops a quasi-closed-form solution for the valuation of an American put option and the critical price of the underlying asset. This is an important area of research both because of a large number of transactions for American put options on different underlying assets (stocks,...

Persistent link: https://www.econbiz.de/10012321096

Evaluation of options using the Black-Scholes methodology

Brătian, Vasile - In: Expert journal of economics 7 (2019) 2, pp. 59-65

This paper discusses how to obtain the Black-Scholes equation to evaluate options and how to obtain explicit solutions for Call and Put. The Black-Scholes equation, which is the basis for determining explicit solutions for Call and Put, is a rather sophisticated equation. It is a partial...

Persistent link: https://www.econbiz.de/10012131594

A ne on simulation pricing of π-options

Palmowski, Zbigniew; Serafin, Tomasz - In: Risks : open access journal 8 (2020) 3/90, pp. 1-19

In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman in 1997 to price a π-option. This method is based on the simulated price tree that comes from discretization and replication of possible trajectories of the underlying asset's price. As a result, this algorithm...

Persistent link: https://www.econbiz.de/10012293283

American options on high dividend securities : a numerical investigation

Rotondi, Francesco - In: Risks : open access journal 7 (2019) 2/59, pp. 1-20

as within its most common extensions (the jump-diffusion, the stochastic volatility and the stochastic interest rates …

Persistent link: https://www.econbiz.de/10012019000

Optimal design of multi-asset options

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 13 (2025) 1, pp. 1-20

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk …

Persistent link: https://www.econbiz.de/10015333614