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

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

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

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 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

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

scholarly journals Existence of Maximum Entropy Problem Solution in a General N-Dimensional Case

2018 ◽  
pp. 97-102
Author(s):  
Ruben Gevorgyan ◽  
Narek Margaryan
Keyword(s):  
Option Pricing ◽  
Maximum Entropy ◽  
Optimization Algorithms ◽  
Dimensional Case ◽  
Computational Time ◽  
Problem Solution ◽  
Call Options ◽  
Price Range ◽  
Risk Neutral ◽  
Pricing Formula

In the following paper, we will define conditions, which need to be satisfied in order for the maximum entropy problem applied in European call options to have a solution in a general n-dimensional case. We will also find a minimum right boundary for the price range in order to have at least one risk neutral measure satisfying the option pricing formula. The results significantly reduce the computational time of optimization algorithms used in maximum entropy problem.

scholarly journals Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility

Stochastics ◽  
2021 ◽  
pp. 1-44
Author(s):  
Kaustav Das ◽  
Nicolas Langrené
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Stochastic Volatility
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