Filters








1,062 Hits in 6.5 sec

Modeling Vanilla Option prices: A simulation study by an implicit method [article]

Snehanshu Saha, Swati Routh, Bidisha Goswami
2014 arXiv   pre-print
In this paper, the authors have solved the Black-Scholes equation by employing a reasonably accurate implicit method. Options with known analytic solutions have been evaluated.  ...  Option contracts can be valued by using the Black-Scholes equation, a partial differential equation with initial conditions. An exact solution for European style options is known.  ...  The simulation study results in obtaining/fixing the price of a European option with given agreed prices for Call and put options respectively.  ... 
arXiv:1311.0438v2 fatcat:hz5nkxuwyzegpjfsp57c7dfz5a

Calibration of Local-Stochastic and Path-Dependent Volatility Models to Vanilla and No-Touch Options [article]

Alan Bain, Matthieu Mariapragassam, Christoph Reisinger
2019 arXiv   pre-print
We propose a generic calibration framework to both vanilla and no-touch options for a large class of continuous semi-martingale models.  ...  We detail a step-by-step procedure for a Heston-type local-stochastic volatility model with local vol-of-vol, as well as two path-dependent volatility models where the local volatility component depends  ...  Pricing vanilla options Here, we explain how prices of vanilla contracts can be obtained efficiently as a by-product of the solution of the forward PIDE (2.10) for barrier options.  ... 
arXiv:1911.00877v1 fatcat:m55vl367lbglblvbjrq5jcdoju

Pricing growth-indexed bonds

Marcos Chamon, Paolo Mauro
2006 Journal of Banking & Finance  
In an effort to reduce such concerns, this article presents a simple way of pricing growth-indexed bonds.  ...  As a pleasant by-product, the analysis tracks the quantitative implications of an increase in the share of growth-indexed bonds in total debt, measuring the ensuing decline in the probability of default  ...  We thus accept market participants' views at face value and develop a simple method to price growthindexed bonds. C. Is a Pricing Model Really Required, and Who Should Develop it?  ... 
doi:10.1016/j.jbankfin.2006.06.007 fatcat:c4jiedcdo5cb5oklt67uggmybu

Pricing Growth-Indexed Bonds

Paolo Mauro, Marcos Chamon
2005 IMF Working Papers  
In an effort to reduce such concerns, this article presents a simple way of pricing growth-indexed bonds.  ...  As a pleasant by-product, the analysis tracks the quantitative implications of an increase in the share of growth-indexed bonds in total debt, measuring the ensuing decline in the probability of default  ...  We thus accept market participants' views at face value and develop a simple method to price growthindexed bonds. C. Is a Pricing Model Really Required, and Who Should Develop it?  ... 
doi:10.5089/9781451862355.001 fatcat:tsovh3fm65gyxh3fpfas4stn64

Analytic Approximation of Finite-Maturity Timer Option Prices

Minqiang Li, Fabio Mercurio
2014 Journal of futures markets  
We develop an approximation technique for pricing finite-maturity timer options under Heston-like stochastic volatility models.  ...  By approximating the distributions of the accumulated variance and the random variance budget exceeding time, we obtain analytic expressions for timer option prices under zero correlation.  ...  For nonzero correlation, we take a simple approach by assuming that the finite-maturity timer option price is a linear combination of the corresponding perpetual timer option and plain-vanilla option prices  ... 
doi:10.1002/fut.21659 fatcat:7ky6sdccgvgijjodsycig4z5wi

Pricing convertible bonds with call protection

Stéphane Crépey, Abdallah Rahal
2011 Journal of Computational Finance  
In this paper we deal with the issue of pricing numerically by simulation convertible bonds. A convertible bond can be seen as a coupon-paying and callable American option.  ...  Deterministic pricing schemes are then ruled out by the curse of dimensionality, and simulation methods appear to be the only viable alternative.  ...  by the simulation method of section 5.2.2.  ... 
doi:10.21314/jcf.2011.258 fatcat:tmqinkgpsvehnfskwnhof2gioe

Jumps and stochastic volatility in crude oil prices and advances in average option pricing

Ioannis Kyriakou, Panos K. Pouliasis, Nikos C. Papapostolou
2016 Quantitative finance (Print)  
Finally, Ewald et al. (2013) propose a solution by means of a PDE and a Monte Carlo simulation method, whereas Yamazaki (2014) a pricing formula based on the Gram-Charlier expansion.  ...  → ∞), or an Asian option with a large finite number of monitoring dates (0 ≪ N < ∞) whose pricing by direct implementation of our method could be computationally demanding.  ... 
doi:10.1080/14697688.2016.1211798 fatcat:t23hvbz7h5gppgmr5z2p62kvcm

Comparison of Numerical Methods for Option Pricing

Nikolaos Mourtzanos
2006 Social Science Research Network  
This study goes through a range of methods for option pricing.  ...  Chapter 6 cites Monte Carlo simulation as it was first introduced for option pricing, by Boyle (1976), and the Least Squares Monte Carlo simulation algorithm as it was introduced by Longstaff and Schwartz  ...  This study will cover in extend the work done by Longstaff and Schwartz, and Stentoft.  ... 
doi:10.2139/ssrn.1093408 fatcat:2cxldvqzgfdqnlftzd2suykmpm

Forward deterministic pricing of options using Gaussian radial basis functions

Jamal Amani Rad, Josef Höök, Elisabeth Larsson, Lina von Sydow
2018 Journal of Computational Science  
a competitive forward pricing method.  ...  The price of a fixed-term option is the expected value of the payoff at the time of maturity.  ...  We refer to the option defined by (10) as a vanilla option and the option defined by (11) as a barrier option.  ... 
doi:10.1016/j.jocs.2017.05.016 fatcat:gjn4y7uqh5dyvp7huasdmlbgdu

Pricing commodity swing options [article]

Roberto Daluiso, Emanuele Nastasi, Andrea Pallavicini, Giulio Sartorelli
2020 arXiv   pre-print
We implement the numerical problem by means of a least-square Monte Carlo simulation and we investigate alternative approaches based on reinforcement learning algorithms.  ...  In this paper we focus on the natural gas market and we present a dynamical model for commodity futures prices able to calibrate liquid market quotes and to imply the volatility smile for futures contracts  ...  11 : An episode is a simulation of the state up to the swing option maturity.  ... 
arXiv:2001.08906v1 fatcat:bsg372cbbzcbpmz7ne34xvah7u

Pricing of Fixed-Strike Lookback Options on Assets with Default Risk

Sun-Yong Choi, Ji-Hun Yoon, Junkee Jeon
2019 Mathematical Problems in Engineering  
Furthermore, we analyze the values of the vulnerable fixed-strike lookback options with respect to the model parameters and also show that the Monte Carlo simulations and the Implicit Finite Difference  ...  Using double Mellin transforms and the method of images, we have a closed-form solution to fixed-strike lookback options with a default risk.  ...  Dai and Chiu [3] studied a closed formula of vulnerable European options by taking advantage of a first passage model, and Hung and Liu [4] studied the pricing of vulnerable options when the market  ... 
doi:10.1155/2019/8412698 fatcat:wod233ifjrfwnbakboaljcoq4i

Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes [article]

Ali Hirsa, Tugce Karatas, Amir Oskoui
2019 arXiv   pre-print
We demonstrate that deep neural networks exponentially expedite option pricing compared to commonly used option pricing methods which consequently make calibration and parameter estimation super fast.  ...  We apply supervised deep neural networks (DNNs) for pricing and calibration of both vanilla and exotic options under both diffusion and pure jump processes with and without stochastic volatility.  ...  RNN Pricing Model/Method Transform Techniques PDEs/PIDEs MC simulation DNN model vanilla weak exotic vanilla weak exotic vanilla weak exotic vanilla weak exotic GBM × VG × GBMSA × ?  ... 
arXiv:1902.05810v1 fatcat:6s2utkvt3vhkvntvbtq272wtpi

Option Pricing of Twin Assets [article]

Marcelo J. Villena, Axel A. Araneda
2014 arXiv   pre-print
From here, a method to measure the level of similarity between assets is proposed, and secondly, an option pricing model of twin assets is developed.  ...  The proposed model allows us to price an option of one nontraded asset using its twin asset, but this time knowing explicitly what levels of errors we are facing.  ...  In section 2, firstly, a method to measure the level of similarity between assets is proposed, and secondly, an option pricing model of twin assets is developed.  ... 
arXiv:1401.6735v1 fatcat:m5wunvydvfdnzoc4yiumfiq4dm

Multiplicative noise, fast convolution and pricing

Giacomo Bormetti, Sofia Cazzaniga
2012 Quantitative finance (Print)  
Since exact analytical results are missing, we exploit the fast convolution as a numerical method alternative to the Monte Carlo simulation both in objective and risk neutral settings.  ...  The ability in reproducing statistical features of financial return time series, such as thickness of the tails and scaling properties, makes this processes appealing for option pricing.  ...  Being an interesting hybrid between a geometric Brownian motion and a stochastic volatility model, the latter provides a realistic description of the dynamics implied in the option market.  ... 
doi:10.1080/14697688.2012.729857 fatcat:iubfrv56azcfpn65qevxxkmiry

GDP Linked Bonds: Contract Design and Pricing

Oleg A. Ruban, Ser-Huang Poon, Konstantinos N. Vonatsos
2008 Social Science Research Network  
The model allows us to obtain prices and default profiles for vanilla bonds and various GDP linked structures that could be issued by emerging market sovereigns.  ...  We study four types of growth linked bonds: their default term structures, cash flow profiles, pricing under different assumptions about investor risk aversion and behaviour against an assortment of macroeconomic  ...  Using Monte-Carlo simulations, the model allows us to obtain prices and default profiles for vanilla bonds and various GDP linked structures that could be issued by an emerging market sovereign.  ... 
doi:10.2139/ssrn.1102236 fatcat:z3sabtbb4vbbxfzqo5l7ey2jqi
« Previous Showing results 1 — 15 out of 1,062 results