✦ LIBER ✦

Asymptotics of the price oscillations of a European call option in a tree model

✍ Scribed by Francine Diener; MARC Diener

Book ID: 110757028
Publisher: John Wiley and Sons
Year: 2004
Tongue: English
Weight: 233 KB
Volume: 14
Category: Article
ISSN: 0960-1627
DOI: 10.1111/j.0960-1627.2004.00192.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A uniform asymptotic expansion for stoch

A uniform asymptotic expansion for stochastic volatility model in pricing multi-asset European options

✍ Yansheng Ma; Yong Li 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 1021 KB

ACHIEVING HIGHER ORDER CONVERGENCE FOR T

ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES

✍ Mark S. Joshi 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 157 KB

Nonconvergence in the Variation of the H

Nonconvergence in the Variation of the Hedging Strategy of a European Call Option

✍ R. Th. Peters 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 129 KB

Asymptotic analysis of option pricing in

Asymptotic analysis of option pricing in a Markov modulated market

✍ Arnab Basu; Mrinal K. Ghosh 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 939 KB

Options on futures contracts: A comparis

Options on futures contracts: A comparison of European and American pricing models

✍ Kuldeep Shastri; Kishore Tandon 📂 Article 📅 1986 🏛 John Wiley and Sons 🌐 English ⚖ 775 KB

ecent theoretical research has developed two valuation models for pricing R options on futures contracts-a European version, and a more complex American variant. The purpose of this article is to compare the pricing behavior of the two models and develop some implications for the use of European mod

Pricing a European Basket Option in the

Pricing a European Basket Option in the Presence of Proportional Transaction Costs

✍ Atkinson, C.; Alexandropoulos, C. A. 📂 Article 📅 2006 🏛 Taylor and Francis Group 🌐 English ⚖ 606 KB