scholarly journals A General Closed-Form Spread Option Pricing Formula

2013 ◽  
Author(s):  
Ruggero Caldana ◽  
Gianluca Fusai
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Spread Option ◽  
Pricing Formula

scholarly journals A general closed-form spread option pricing formula

2013 ◽  
Vol 37 (12) ◽  
pp. 4893-4906 ◽  
Author(s):  
Ruggero Caldana ◽  
Gianluca Fusai
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Spread Option ◽  
Pricing Formula

An Implicit Martingale Restriction in a Closed-Form Higher Order Moments Option Pricing Formula Based on Multipoint Padé Approximants

2007 ◽  
Author(s):  
Guillaume Bagnarosa ◽  
Charles J. Corrado ◽  
Emmanuel Jurczenko ◽  
Bertrand B. Maillet
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Padé Approximants ◽  
Higher Order ◽  
Higher Order Moments ◽  
Pade Approximants ◽  
Pricing Formula

An Implicit Martingale Restriction in a Closed-Form Higher Order Moments Option Pricing Formula Based on Multipoint Padd Approximants

2007 ◽  
Author(s):  
Guillaume Bagnarosa ◽  
Charles J. Corrado ◽  
Emmanuel Jurczenko ◽  
Bertrand B. Maillet
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Higher Order ◽  
Higher Order Moments ◽  
Padd Approximants ◽  
Pricing Formula

A general closed form option pricing formula

2018 ◽  
Vol 22 (1) ◽  
pp. 1-40
Author(s):  
Ciprian Necula ◽  
Gabriel Drimus ◽  
Walter Farkas
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Pricing Formula

A General Closed Form Option Pricing Formula

2013 ◽  
Author(s):  
Ciprian Necula ◽  
Gabriel G. Drimus ◽  
Walter Farkas
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Pricing Formula

ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM

2019 ◽  
Vol 22 (05) ◽  
pp. 1950023
Author(s):  
MESIAS ALFEUS ◽  
ERIK SCHLÖGL
Keyword(s):  
Fourier Transform ◽  
Option Pricing ◽  
Closed Form ◽  
Stochastic Volatility Model ◽  
Approximation Formula ◽  
Two Dimensional ◽  
Spread Options ◽  
Variance Gamma Process ◽  
Volatility Model ◽  
Spread Option

Spread options are multi-asset options with payoffs dependent on the difference of two underlying financial variables. In most cases, analytically closed form solutions for pricing such payoffs are not available, and the application of numerical pricing methods turns out to be nontrivial. We consider several such nontrivial cases and explore the performance of the highly efficient numerical technique of Hurd & Zhou[(2010) A Fourier transform method for spread option pricing, SIAM J. Financial Math. 1(1), 142–157], comparing this with Monte Carlo simulation and the lower bound approximation formula of Caldana & Fusai[(2013) A general closed-form spread option pricing formula, Journal of Banking & Finance 37, 4893–4906]. We show that the former is in essence an application of the two-dimensional Parseval’s Identity. As application examples, we price spread options in a model where asset prices are driven by a multivariate normal inverse Gaussian (NIG) process, in a three-factor stochastic volatility model, as well as in examples of models driven by other popular multivariate Lévy processes such as the variance Gamma process, and discuss the price sensitivity with respect to volatility. We also consider examples in the fixed-income market, specifically, on cross-currency interest rate spreads and on LIBOR/OIS spreads.

An Empirical Study of the Option Pricing Formula with the Underlying Banned from Short Sell

2019 ◽  
Author(s):  
Mesias Alfeus ◽  
Xin-Jiang He ◽  
Song-Ping Zhu
Keyword(s):  
Empirical Study ◽  
Option Pricing ◽  
Short Sell ◽  
Pricing Formula

scholarly journals Multi-Asset Spread Option Pricing and Hedging

2007 ◽  
Author(s):  
Minqiang Li ◽  
Shijie Deng ◽  
Jieyun Zhou
Keyword(s):  
Option Pricing ◽  
Spread Option

A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY

2021 ◽  
pp. 1-10
Author(s):  
Puneet Pasricha ◽  
Anubha Goel
Keyword(s):  
Closed Form ◽  
Stochastic Volatility ◽  
Closed Form Solution ◽  
Form Solution ◽  
Stochastic Volatility Model ◽  
Strike Price ◽  
Volatility Model ◽  
Exchange Options ◽  
Pricing Formula ◽  
Exchange Option

This article derives a closed-form pricing formula for the European exchange option in a stochastic volatility framework. Firstly, with the Feynman–Kac theorem's application, we obtain a relation between the price of the European exchange option and a European vanilla call option with unit strike price under a doubly stochastic volatility model. Then, we obtain the closed-form solution for the vanilla option using the characteristic function. A key distinguishing feature of the proposed simplified approach is that it does not require a change of numeraire in contrast with the usual methods to price exchange options. Finally, through numerical experiments, the accuracy of the newly derived formula is verified by comparing with the results obtained using Monte Carlo simulations.

The closed-form option pricing formulas under the sub-fractional Poisson volatility models

2021 ◽  
Vol 148 ◽  
pp. 111012
Author(s):  
XiaoTian Wang ◽  
ZiJian Yang ◽  
PiYao Cao ◽  
ShiLin Wang
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Volatility Models
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