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 Wavelet-based option pricing: An empirical study

2019 ◽  
Vol 272 (3) ◽  
pp. 1132-1142 ◽  
Author(s):  
Xiaoquan Liu ◽  
Yi Cao ◽  
Chenghu Ma ◽  
Liya Shen
Keyword(s):  
Empirical Study ◽  
Option Pricing

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 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 Reverse Bonus Certificate Design and Valuation Using Pricing by Duplication Methods

2015 ◽  
Vol 62 (3) ◽  
pp. 277-289
Author(s):  
Martina Bobriková ◽  
Monika Harčariková
Keyword(s):  
Option Pricing ◽  
Exotic Options ◽  
Pricing Models ◽  
Underlying Asset ◽  
Replication Method ◽  
Maturity Date ◽  
Derivative Market ◽  
Replicating Portfolio ◽  
Pricing Formula

Abstract In this paper we perform an analysis of a capped reverse bonus certificate, the value of which is derived from the value of an underlying asset. A pricing formula for the portfolio replication method is applied to price the capped reverse bonus certificate. A replicating portfolio has profit that is identical to profit from a combination of positions in spot and derivative market, i.e. vanilla and exotic options. Based upon the theoretical option pricing models, the replicating portfolio for capped reverse bonus certificate on the Euro Stoxx 50 index is engineered. We design the capped reverse bonus certificate with various parameters and calculate the issue prices in the primary market. The profitability for the potential investor at the maturity date is provided. The relation between the profit change of the investor and parameters’ change is detected. The best capped reverse bonus certificate for every estimated development of the index is identified.

A Stochastic Model of Foreign Exchange Dynamics and an Exact Option Pricing Formula

1993 ◽  
pp. 455-457
Author(s):  
Michael Tow Cheung ◽  
David W. K. Yeung
Keyword(s):  
Stochastic Model ◽  
Option Pricing ◽  
Foreign Exchange ◽  
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

scholarly journals Fractional Order Stochastic Differential Equation with Application in European Option Pricing

2014 ◽  
Vol 2014 ◽  
pp. 1-12 ◽  
Author(s):  
Qing Li ◽  
Yanli Zhou ◽  
Xinquan Zhao ◽  
Xiangyu Ge
Keyword(s):  
Differential Equation ◽  
Stochastic Differential Equation ◽  
Option Pricing ◽  
Memory Effect ◽  
Fractional Order ◽  
Mean Value ◽  
European Option ◽  
European Option Pricing ◽  
Proposed Model ◽  
Pricing Formula

Memory effect is an important phenomenon in financial systems, and a number of research works have been carried out to study the long memory in the financial markets. In recent years, fractional order ordinary differential equation is used as an effective instrument for describing the memory effect in complex systems. In this paper, we establish a fractional order stochastic differential equation (FSDE) model to describe the effect of trend memory in financial pricing. We, then, derive a European option pricing formula based on the FSDE model and prove the existence of the trend memory (i.e., the mean value function) in the option pricing formula when the Hurst index is between 0.5 and 1. In addition, we make a comparison analysis between our proposed model, the classic Black-Scholes model, and the stochastic model with fractional Brownian motion. Numerical results suggest that our model leads to more accurate and lower standard deviation in the empirical study.

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
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