Nowadays market liquidity has become an issue of very high concern in financial risk management. This paper deals with the numerical analysis and computing of nonlinear models of option pricing that appear when illiquid market effects are taken into account. A consistent monotone finite difference s
Option pricing, maturity randomization and distributed computing
β Scribed by Gianluca Fusai; Daniele Marazzina; Marina Marena
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 353 KB
- Volume
- 36
- Category
- Article
- ISSN
- 0167-8191
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Equity options have a significant influence on the price discovery process. This study presents unique evidence of substantial price clustering in individual equity options contracts. A particular contribution arises from investigating competing hypotheses on the roles of moneyness and maturity as d
In this study, a new approach to pricing American options is proposed and termed the canonical implied binomial (CIB) tree method. CIB takes advantage of both canonical valuation (Stutzer, 1996) and the implied binomial tree method (Rubinstein, 1994). Using simulated returns from geometric Brownian
## Abstract Numerical valuation model is extended for European Asian options while considering the higher moments of the underlying asset return distribution. The Edgeworth binomial lattice is applied and the lower and upper bounds of the option value are calculated. That the error bound in pricing
## Abstract The gamma class of distributions encompasses several important distributions, either as special or limiting cases or through simple transformations. Here we derived closed form and preference free European option pricing formulae for various (transformed) gamma distributions under the g