We propose a new accurate method for pricing European spread options by extending the lower bound approximation of … closed form solution via Fourier inversion of the exchange option price, generalizing the Margrabe (1978) formula. The method … is applicable to models in which the joint characteristic function of the underlying assets forming the spread is known …

option-pricing constraints. In the second part of the article, we derive a binomial model not found in the literature, and … option by replicating its mark-to-market cash flows (MTM CF) rather than a final payoff and, second, the irrelevance of the … interest rates is also true for rational option-pricing constraints …

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 …

The paper reviews the option pricing model constructs of Bachelier and Black-Scholes Merton, concluding the latter …

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 …