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Pricing European and Barrier Options in the Fractional Black-Scholes Market

Necula, Ciprian - 2008

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

Persistent link: https://www.econbiz.de/10014213489

A One-Factor Volatility Smile Model with Closed-Form Solutions for European Options

Li, Anlong - 2006

function we obtain a wide range of shapes of implied volatility curves with respect to option strikes. The model has closed …-form solutions for European options, which enables fast calibration of the model to market option prices. The model can also be …

Persistent link: https://www.econbiz.de/10014055229

Black--Scholes Option Pricing Revisited?

Mink, Mark; Weert, Frans J. de - 2022

correct, our results invalidate the continuous-time budget equation of Merton (1971) and the hedging argument and option …

Persistent link: https://www.econbiz.de/10013294505

Option Pricing with a Local Bimodal Distribution of Underlying Asset Price

Hsiao, Chiu-Ming - 2022

This research proposes a new option pricing model. The model revises the unimodal probability distribution assumption … used in the past, and proposes a bimodal probability distribution for option pricing. The bimodal probability distribution … option pricing model derived from the unimodal probability distributions will be a special extreme case of that estimated …

Persistent link: https://www.econbiz.de/10013296061

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

This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in pricing options, GARCH (Generalized Autoregressive...

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

Simulating theta and gamma of American options

Nguyen, P.A; Mitchell, Daniel - 2022

This paper derives explicit expressions to simulate theta and gamma for American options using the pathwise derivative method. While the pathwise derivative formulas for delta, rho, and vega of American options have been studied in the literature, no correct explicit results for theta and gamma...

Persistent link: https://www.econbiz.de/10013406526

Bitcoin Has Thin Tails : Modelling Bitcoin Options With Damped Black-Scholes

Reiter, Jonathan - 2022

We examine the distribution of realized Bitcoin daily log-returns and find significantly-thin tails. From there we construct a simple connection back to traditional volatility modelling. And then we discuss how this connection can serve as a foundation to leverage existing derivative quant...

Persistent link: https://www.econbiz.de/10013406538