he Chicago Mercantile Exchange and the Chicago Board of Trade are petitioning T the Commodity Futures Trading Commission (CFTC) to repeal a long-standing regulation requiring an investor to pay the total value of an option premium when purchasing a commodity option. Under the current "stock-style" o
Option pricing with Mellin transnforms
โ Scribed by R. Panini; R.P. Srivastav
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 728 KB
- Volume
- 40
- Category
- Article
- ISSN
- 0895-7177
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Standard and fractional Brownian motions are known to be unsatisfactory models of asset prices. A new class of continuous-time stochastic processes, RFBM, is proposed to remedy some of the shortcomings of current models. RFBM lead to valuation formulas similar to Black}Scholes, but with volatility i
## Abstract This article develops a barrier option pricing model in which the exchange rate follows a meanโreverting lognormal process. The corresponding closedโform solutions for the barrier options with timeโdependent barriers are derived. The numerical results show that barrier option values and
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed i
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