搜索结果: 1-9 共查到“option prices”相关记录9条 . 查询时间(0.046 秒)
High-order short-time expansions for ATM option prices under a tempered stable Lévy model
Exponential Levy models CGMY and tempered stable models short-time asymptotics at-the-money option pricing implied volatility.
2012/9/14
The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel second-order approximation for ATM opti...
Option prices with call prices
Option valuation Barrier options Call options Americanoptions static hedging
2012/9/14
There exist several methods how more general options can be priced with call prices. In this article, we extend these results to cover a wider class of options and market models. In particular, we int...
Model-independent Bounds for Option Prices: A Mass Transport Approach
Model-independent pricing Monge-Kantorovich transport problem option arbitrage
2011/7/4
In this paper we investigate model-independent bounds for exotic options written on a risky asset
using infinite-dimensional linear programming methods.
Using arguments from the theory of Monge-Kant...
A Family of Maximum Entropy Densities Matching Call Option Prices
Entropy Information Theory I-Divergence Asset Distribution Option Pricing
2011/3/23
We investigate the position of the Buchen-Kelly density in a family of entropy maximising densities which all match European call option prices for a given maturity observed in the market. Using the L...
We consider a stochastic volatility model with L´evy jumps for a log-return pro-cess Z = (Zt)t≥0 of the form Z = U +X, where U = (Ut)t≥0 is a classical stochastic volatility process and X = (Xt)...
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Spectral Decomposition Option Prices Fast Mean-Reverting Stochastic Volatility Models
2010/10/21
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatilit...
Small-Time Asymptotics of Option Prices and First Absolute Moments
option price absolute moment small-time asymptotics approximation
2010/10/20
We study the leading term in the small-time asymptotics of at-the-money call option prices when the stock price process $S$ follows a general martingale. This is equivalent to studying the first cent...
Forward equations for option prices in semimartingale models
option prices semimartingale models
2010/4/27
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discont...
Recovering a time-homogeneous stock price process from perpetual option prices
time-homogeneous stock price perpetual option prices
2010/10/29
It is well-known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion.In the present paper we consider the inverse problem, i.e. given...