scholarly journals Novel numerical techniques for the finite moment log stable computational model for European call option

2020 ◽  
Vol 36 (6) ◽  
pp. 1537-1554
Author(s):  
Xingyu An ◽  
Fawang Liu ◽  
Shanzhen Chen ◽  
Vo V. Anh
Keyword(s):  
Computational Model ◽  
Call Option ◽  
Numerical Techniques ◽  
Finite Moment ◽  
European Call Option

scholarly journals Numerical simulation of a Finite Moment Log Stable model for a European call option

2016 ◽  
Vol 75 (3) ◽  
pp. 569-585 ◽  
Author(s):  
H. Zhang ◽  
F. Liu ◽  
I. Turner ◽  
S. Chen ◽  
Q. Yang
Keyword(s):  
Numerical Simulation ◽  
Stable Model ◽  
Call Option ◽  
Finite Moment ◽  
European Call Option

scholarly journals EUROPEAN CALL OPTION APPLICATION IN INCOMPLETE MARKET-ANALYSIS AND DEVELOPMENT

2014 ◽  
Vol 10 (1) ◽  
pp. 157-168
Author(s):  
Ro’fah Nur Rachmawati ◽  
Sufon ◽  
Widodo Budiharto
Keyword(s):  
Incomplete Market ◽  
Market Analysis ◽  
Call Option ◽  
European Call Option

scholarly journals Fast numerical simulation of a new time-space fractional option pricing model governing European call option

2018 ◽  
Vol 339 ◽  
pp. 186-198 ◽  
Author(s):  
H. Zhang ◽  
F. Liu ◽  
S. Chen ◽  
V. Anh ◽  
J. Chen
Keyword(s):  
Numerical Simulation ◽  
Option Pricing ◽  
Call Option ◽  
Pricing Model ◽  
European Call Option ◽  
Time Space ◽  
Option Pricing Model ◽  
New Time

STOCHASTIC VOLATILITY

2002 ◽  
Vol 05 (05) ◽  
pp. 515-530 ◽  
Author(s):  
SOTIRIOS SABANIS
Keyword(s):  
Brownian Motion ◽  
Stochastic Volatility ◽  
Series Representation ◽  
Random Variable ◽  
Call Option ◽  
Underlying Asset ◽  
European Call Option ◽  
Practical Convergence ◽  
Security Price ◽  
Simulation Results

Hull and White [1] have priced a European call option for the case in which the volatility of the underlying asset is a lognormally distributed random variable. They have obtained their formula under the assumption of uncorrelated innovations in security price and volatility. Although the option pricing formula has a power series representation, the question of convergence has been left unanswered. This paper presents an iterative method for calculating all the higher order moments of volatility necessary for the process of proving convergence theoretically. Moreover, simulation results are given that show the practical convergence of the series. These results have been obtained by using a displaced geometric Brownian motion as a volatility process.

Dynamic Robust Pricing Model of European Call Option under the Fractional Market with Knightian Uncertainty

2011 ◽  
Vol 271-273 ◽  
pp. 675-678
Author(s):  
Hui Zhang ◽  
Wen Yu Meng
Keyword(s):  
Financial Market ◽  
Conditional Expectation ◽  
Explicit Solution ◽  
Knightian Uncertainty ◽  
Call Option ◽  
Pricing Model ◽  
European Call Option

The fractional financial market with Knightian uncertainty is studied. Using the important theories of the quasi conditional expectation and the quasi martingale, we establish the dynamic robust pricing model of European call option and get the explicit solution of the model.

scholarly journals Finite Volume Method for Pricing European Call Option with Regime-switching Volatility

2018 ◽  
Vol 974 ◽  
pp. 012024
Author(s):  
Mey Lista Tauryawati ◽  
Chairul Imron ◽  
Endah RM Putri
Keyword(s):  
Finite Volume Method ◽  
Finite Volume ◽  
Regime Switching ◽  
Call Option ◽  
European Call Option ◽  
Volume Method
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