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Bias Reduction in European Option Pricing
, 2004
"... Pricing European options using price estimates of the underlying security that contain noise, create a bias in the option price. We present a technique to reduce this bias. Using ideas from the Longstaff and Schwartz (2001) algorithm, we prove that when the price of the underlying security belongs t ..."
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Pricing European options using price estimates of the underlying security that contain noise, create a bias in the option price. We present a technique to reduce this bias. Using ideas from the Longstaff and Schwartz (2001) algorithm, we prove that when the price of the underlying security belongs
Bounds on European option prices under stochastic volatility
 Math. Finance
, 1999
"... carlossinwdrcom In this paper we consider the range of prices consistent with no arbitrage for European options in a general stochastic volatility model We give conditions under which the inmum and the supremum of the possible option prices are equal to the intrinsic value of the option and to the ..."
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Cited by 25 (0 self)
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carlossinwdrcom In this paper we consider the range of prices consistent with no arbitrage for European options in a general stochastic volatility model We give conditions under which the inmum and the supremum of the possible option prices are equal to the intrinsic value of the option
European Option Pricing with Transaction Costs in Lévy Jump Environment
"... The European option pricing problem with transaction costs is investigated for a risky asset price model with Lévy jump. By the aid of arbitrage pricing theory and the generalized Itô formula (which includes Poisson jump), the explicit solution to the risk asset price model is given. According to a ..."
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The European option pricing problem with transaction costs is investigated for a risky asset price model with Lévy jump. By the aid of arbitrage pricing theory and the generalized Itô formula (which includes Poisson jump), the explicit solution to the risk asset price model is given. According
A RegimeSwitching Model for European Option Pricing
 STOCHASTIC PROCESSES, OPTIMIZATION, AND CONTROL THEORY APPLICATIONS IN FINANCIAL ENGINEEARING, QUEUEING NETWORKS, AND MANUFACTURING
, 2006
"... We study the pricing of Europeanstyle options, with the rate of return and the volatility of the underlying asset depending on the market mode or regime that switches among a finite number of states. This regimeswitching model is formulated as a geometric Brownian motion modulated by a finites ..."
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Cited by 19 (5 self)
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We study the pricing of Europeanstyle options, with the rate of return and the volatility of the underlying asset depending on the market mode or regime that switches among a finite number of states. This regimeswitching model is formulated as a geometric Brownian motion modulated by a finite
Fractional Order Stochastic Differential Equation with Application in European Option Pricing
"... Memory effect is an important phenomenon in financial systems, and a number of research works have been carried out to study the long memory in the financial markets. In recent years, fractional order ordinary differential equation is used as an effective instrument for describing the memory effect ..."
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effect in complex systems. In this paper, we establish a fractional order stochastic differential equation (FSDE) model to describe the effect of trend memory in financial pricing. We, then, derive a European option pricing formula based on the FSDE model and prove the existence of the trend memory (i
ANALYTIC CALCULATION OF EUROPEAN OPTION PRICING IN STOCHASTIC VOLATILITY ASSET MODEL Jaepill Oh
"... Abstract. We deal some analytic calculations for European option pricing by using the theory of elementary solution of generalized diffusion equation mainly. 1. ..."
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Abstract. We deal some analytic calculations for European option pricing by using the theory of elementary solution of generalized diffusion equation mainly. 1.
European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates
, 2011
"... We present a European option pricing when the underlying asset price dynamics is governed by a linear combination of the timechange Lévy process and a stochastic interest rate which follows the Vasicek process. We obtain an explicit formula for the European call option in term of the characteristi ..."
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We present a European option pricing when the underlying asset price dynamics is governed by a linear combination of the timechange Lévy process and a stochastic interest rate which follows the Vasicek process. We obtain an explicit formula for the European call option in term
European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs
, 2002
"... In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges and Neuberger (1989) and further developed by Davis, Panas, and Zariphopoulou (1993), for the market where each transaction has a fixed cost component. We present a model, where investors have a CARA u ..."
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Cited by 6 (0 self)
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utility and finite time horizons, and derive some properties of reservation option prices. The model is then numerically solved for the case of European call options. We examine the effects on the reservation option prices and the corresponding optimal hedging strategies of varying the investor’s ARA
Linear vector optimization and European option pricing under proportional transaction costs
, 2014
"... A method for pricing and superhedging European options under proportional transaction costs based on linear vector optimisation and geometric duality developed by Löhne & Rudloff (2014) is compared to a special case of the algorithms for American type derivatives due to Roux & Zastawniak ..."
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A method for pricing and superhedging European options under proportional transaction costs based on linear vector optimisation and geometric duality developed by Löhne & Rudloff (2014) is compared to a special case of the algorithms for American type derivatives due to Roux & Zastawniak
Results 1  10
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11,951