Part I proposes a numeraire-invariant option pricing framework. It defines an option, its price process, and such … established in general. The american option is then defined, and its pricing formula (for all times) is presented. Applying a … notions as option indistinguishability and equivalence, domination, payoff process, trigger option, and semipositive option …

In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: 1. Pricing savings plans which incorporate a … choice of linkage. 2. Pricing convertible bonds. 3. Pricing employee stock ownership plans 4. Pricing options where the …

option prices. It explicitly treats the fact that only a discrete data set can be observed in practice. The framework is …

show that demand-pressure effects contribute to well-known option-pricing puzzles. Indeed, time-series tests show that … pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the … option. Similarly, the demand pressure increases the price of any other option by an amount proportional to the covariance of …

In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: <p> 1. Pricing savings plans which incorporate … a choice of linkage. <p> 2. Pricing convertible bonds. <p> 3. Pricing employee stock ownership plans <p> 4. Pricing …

This work examines how the option and stock markets are related when using the threshold vector error correction model … consistent with the following notions. First, the equilibrium re-establishment process depends primarily on the option market and … is triggered only when price deviations exceed a critical threshold. Second, arbitrage behaviors between the option and …

overcome the highlighted liquidity issues, we propose first to test the generaliza- tion of Gray and Whaley (1999) reset option … introduced by François-Heude and Yousfi (2013). The main idea is to reset the strike price PXA option to a new strike price given …

enhance liquidity, we test the generalized reset GR option of François-Heude and Yousfi (2013) in the PXA options' market. Our …

.However, almost every element of modern option pricing can be found in Bronzinÿs book. Inparticular, he uses the normal distribution … booklet in German entitled Theorie der Prämiengeschäfte (Theory ofPremium Contracts) which is an old type of option contract … to derive a pricing equation which comes surprisinglyclose to the Black-Scholes-Merton formula. …