American Option Model and Negative Fichera Function on Degenerate Boundary

2019 ◽  
pp. 95-113
Author(s):  
Xiaoshan Chen ◽  
Zhuo Jin ◽  
Qingshuo Song
Keyword(s):  
American Option ◽  
Option Model

COMPUTING COMPETENCIES VALUE THROUGH A FUZZY REAL OPTION MODEL

2004 ◽  
Vol 09 (01) ◽  
Author(s):  
Lorella Cannavacciuolo ◽  
Luigi Iervolino ◽  
Luca Iandoli ◽  
Giuseppe Zollo
Keyword(s):  
Real Option ◽  
Option Model

New Bounds on American Option Prices

2007 ◽  
Author(s):  
In Joon Kim ◽  
Geun Hyuk Chang ◽  
Suk-Joon Byun
Keyword(s):  
American Option ◽  
Option Prices

Airfare price insurance: a real option model

2011 ◽  
Vol 12 (1) ◽  
pp. 5-14 ◽  
Author(s):  
Adishwar K. Jain ◽  
Raymond A.K. Cox
Keyword(s):  
Real Option ◽  
Option Model ◽  
Price Insurance

scholarly journals Randomized Binomial Tree and Pricing of American-Style Options

2014 ◽  
Vol 2014 ◽  
pp. 1-6 ◽  
Author(s):  
Hu Xiaoping ◽  
Cao Jie
Keyword(s):  
American Option ◽  
Option Prices ◽  
Occurrence Probability ◽  
Binomial Tree ◽  
No Arbitrage ◽  
Complete Market ◽  
Cubic Polynomial ◽  
American Style ◽  
The Impact ◽  
And Storage

Randomized binomial tree and methods for pricing American options were studied. Firstly, both the completeness and the no-arbitrage conditions in the randomized binomial tree market were proved. Secondly, the description of the node was given, and the cubic polynomial relationship between the number of nodes and the time steps was also obtained. Then, the characteristics of paths and storage structure of the randomized binomial tree were depicted. Then, the procedure and method for pricing American-style options were given in a random binomial tree market. Finally, a numerical example pricing the American option was illustrated, and the sensitivity analysis of parameter was carried out. The results show that the impact of the occurrence probability of the random binomial tree environment on American option prices is very significant. With the traditional complete market characteristics of random binary and a stronger ability to describe, at the same time, maintaining a computational feasibility, randomized binomial tree is a kind of promising method for pricing financial derivatives.

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