Uncertainty and stochastic theories on European options valuation and their delta and vega risks

2022 ◽  
Author(s):  
Carlos Alexander Grajales ◽  
Santiago Medina Hurtado ◽  
Samuel A. Mongrut
Keyword(s):  
European Options ◽  
Options Valuation

A Review of Land Options Valuation

2019 ◽  
Vol 18 (3) ◽  
pp. 5-22
Author(s):  
Seung Dong You
Keyword(s):  
Options Valuation

Fast Pricing and Calculation of Sensitivities of OTM European Options Under Levy Processes

2010 ◽  
Author(s):  
Sergei Z. Levendorskii ◽  
Jiayao Xie
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
European Options

A New Logistic-Type Model for Pricing European Options

2015 ◽  
Author(s):  
Jaime A. Londooo ◽  
Javier Sandoval
Keyword(s):  
Type Model ◽  
European Options

Numerical Pricing of European Options with Arbitrary Payoffs

2016 ◽  
Author(s):  
Ricardo Pachon
Keyword(s):  
European Options

THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS

2005 ◽  
Vol 08 (02) ◽  
pp. 239-253 ◽  
Author(s):  
PETER CARR ◽  
ALIREZA JAVAHERI
Keyword(s):  
Differential Equation ◽  
Closed Form ◽  
Stock Price ◽  
Arrival Rate ◽  
European Options ◽  
Standard Assumption ◽  
Integro Differential Equation ◽  
Local Variance ◽  
Calendar Dates

We derive a partial integro differential equation (PIDE) which relates the price of a calendar spread to the prices of butterfly spreads and the functions describing the evolution of the process. These evolution functions are the forward local variance rate and a new concept called the forward local default arrival rate. We then specialize to the case where the only jump which can occur reduces the underlying stock price by a fixed fraction of its pre-jump value. This is a standard assumption when valuing an option written on a stock which can default. We discuss novel strategies for calibrating to a term and strike structure of European options prices. In particular using a few calendar dates, we derive closed form expressions for both the local variance and the local default arrival rate.

REAL OPTIONS VALUATION AND ITS RELATIONSHIP TO BAYESIAN DECISION-MAKING METHODS

2001 ◽  
Vol 46 (1) ◽  
pp. 1-32 ◽  
Author(s):  
HEMANTHA S. B. HERATH ◽  
CHAN S. PARK
Keyword(s):  
Decision Making ◽  
Real Options ◽  
Bayesian Decision ◽  
Real Options Valuation ◽  
Options Valuation ◽  
Bayesian Decision Making

scholarly journals A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options

2016 ◽  
Vol 38 (1) ◽  
pp. B118-B143 ◽  
Author(s):  
Luis Ortiz-Gracia ◽  
Cornelis W. Oosterlee
Keyword(s):  
European Options ◽  
Fourier Technique ◽  
Highly Efficient ◽  
Shannon Wavelet
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