Real Options Theory is often applied to the valuation of IT investments. The application of Real Options Theory is generally accompanied by a monetary valuation of real options through option pricing models which in turn are based on restrictive assumptions and thus subject to criticism....

This paper aims to investigate the econometric nuances of financial engineering innovations in emerging capital markets. Financial globalisation and integration of financial markets, along with a series of intrinsic factors such as more specialized risk management strategies, pronounced...

The Black Scholes Model (BSM) is one of the most important concepts in modern financial theory both in terms of approach and applicability. The BSM is considered the standard model for valuing options; a model of price variation over time of financial instruments such as stocks that can, among...

As argued by Ebenfeld, Mayr and Topper (2002), Onion options may be decomposed into one-touch double barrier binary options (ODBs). Using this idea, these authors provide an arbitrage-free pricing formula for Onion options within the Black-Scholes framework. Their approach rests upon solving the...

In this paper we used a refined approach to estimating the implied volatility from options price in the classic framework developed by Black and Scholes (1973) and Merton (1973). Our study extend the formula previously developed by Corrado and Miller (1996) which works well for the Index options...

By methods of wave dynamics nonlinear equations for economic dynamical processes are derived. They deal both with the transition probabilities of Markov diffusion processes and the ones of random functions values. By using the mean curves of variations of random functions values with respect to...

The straddle is one of the most popular combinations of option strategies suitable in highly volatile markets. Minimization of transaction costs is one of the three objectives for volatility trade design. The purpose of this article is to investigate the optimal total costs for writing a...

There is good empirical evidence to show that the financial series, whether stocks or indices, currencies or interest rates do not follow the log-normal random walk underlying the Black-Scholes model, which is the basis for most of the theory of options valuation. This article presents a...

Implicit finite difference methods are conventionally preferred over their explicit counterparts for the numerical valuation of options. In large part the reason for this is a severe stability constraint known as the Courant-Friedrichs-Lewy (CFL) condition which limits the latter class's...