The Relationship between Put and Call Option Prices: Reply

1973 ◽  
Vol 28 (1) ◽  
pp. 185 ◽  
Author(s):  
Hans R. Stoll
Keyword(s):  
Call Option ◽  
Option Prices ◽  
The Relationship

scholarly journals A Stochastic Harmonic Oscillator Temperature Model for the Valuation of Weather Derivatives

Mathematics ◽  
2021 ◽  
Vol 9 (22) ◽  
pp. 2890
Author(s):  
Alessio Giorgini ◽  
Rogemar S. Mamon ◽  
Marianito R. Rodrigo
Keyword(s):  
Sensitivity Analysis ◽  
Parameter Estimation ◽  
Harmonic Oscillator ◽  
Numerical Simulations ◽  
Model Parameters ◽  
Call Option ◽  
Temperature Model ◽  
Option Prices ◽  
Harmonic Oscillator Model ◽  
Temperature Dynamics

Stochastic processes are employed in this paper to capture the evolution of daily mean temperatures, with the goal of pricing temperature-based weather options. A stochastic harmonic oscillator model is proposed for the temperature dynamics and results of numerical simulations and parameter estimation are presented. The temperature model is used to price a one-month call option and a sensitivity analysis is undertaken to examine how call option prices are affected when the model parameters are varied.

scholarly journals The derivatives of Asian call option prices

2008 ◽  
Vol 6 (3) ◽  
pp. 557-568 ◽  
Author(s):  
Jungmin Choi ◽  
Kyounghee Kim
Keyword(s):  
Call Option ◽  
Option Prices ◽  
Derivatives Of

scholarly journals Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options

2013 ◽  
Vol 25 (1) ◽  
pp. 27-43 ◽  
Author(s):  
MARIANITO R. RODRIGO
Keyword(s):  
Differential Equations ◽  
Fluid Mechanics ◽  
Numerical Simulations ◽  
Ordinary Differential Equations ◽  
Boundary Layers ◽  
Mellin Transform ◽  
Call Option ◽  
Option Prices ◽  
Analytical Formulas ◽  
American Put

We revisit the American put and call option valuation problems. We derive analytical formulas for the option prices and approximate ordinary differential equations for the optimal exercise boundaries. Numerical simulations yield accurate option prices and comparable computational speeds when benchmarked against the binomial method for calculating option prices. Our approach is based on the Mellin transform and an adaptation of the Kármán–Pohlausen technique for boundary layers in fluid mechanics.

scholarly journals High-order approximations to call option prices in the Heston model

2020 ◽  
Author(s):  
Marc Lagunas-Merino ◽  
Raúl Merino ◽  
Josep Vives ◽  
Archil Gulisashvili
Keyword(s):  
High Order ◽  
Heston Model ◽  
Call Option ◽  
Option Prices

scholarly journals Analytical Solution of Black-Scholes Equation in Predicting Market Prices and Its Pricing Bias

2020 ◽  
pp. 17-23
Author(s):  
Azor, Promise Andaowei ◽  
Amadi, Innocent Uchenna
Keyword(s):  
Analytical Solution ◽  
Goodness Of Fit ◽  
Call Option ◽  
Option Prices ◽  
Goodness Of Fit Test ◽  
Market Prices ◽  
European Call Option ◽  
Black Scholes

This paper is geared towards implementation of Black-Scholes equation in valuation of European call option and predicting market prices for option traders. First, we explained how Black-Scholes equation can be used to estimate option prices and then we also estimated the BS pricing bias from where market prices were predicted. From the results, it was discovered that Black-Scholes values were relatively close to market prices but a little increase in strike prices (K) decreases the option prices. Furthermore, goodness of fit test was done using Kolmogorov –Sminorvov to study BSM and Market prices.

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