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

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

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.

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