𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The pricing of options for securities markets with delayed response

✍ Scribed by Yuriy Kazmerchuk; Anatoliy Swishchuk; Jianhong Wu

Book ID
108200326
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
251 KB
Volume
75
Category
Article
ISSN
0378-4754

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

HDD and CDD option pricing with market p
HDD and CDD option pricing with market price of weather risk for Taiwan
✍ Hung-Hsi Huang; Yung-Ming Shiu; Pei-Syun Lin πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 396 KB

## Abstract This study extends the long‐term temperature model proposed by Alaton et al. (2002) by taking into account ARCH/GARCH effects to reflect the clustering of volatility in temperature. The fixed variance model and the ARCH model are estimated using Taiwan weather data from 1974 through 200

Symmetry analysis of the option pricing
Symmetry analysis of the option pricing model with dividend yield from financial markets
✍ Yifang Liu; Deng-Shan Wang πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 269 KB

In this work, the option pricing Black-Scholes model with dividend yield is investigated via Lie symmetry analysis. As a result, the complete Lie symmetry group and infinitesimal generators of the one-dimensional Black-Scholes equation are derived. On the basis of these infinitesimal generators, the