搜索结果: 1-5 共查到“European options”相关记录5条 . 查询时间(0.109 秒)
Approximating European Options by Rebate Barrier Options
European options Financial bubbles Local martingales Truncation approximation Convergence rate Barrier options
2011/3/23
When the underlying stock price is a strict local martingale process under an equivalent local martingale measure, Black-Scholes PDE associated with an European option may have multiple solutions. In ...
Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
Pricing European Options Non-continuous Trading
2010/10/20
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizi...
Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
Mean-Variance Hedging Pricing European Options Non-continuous Trading
2010/4/28
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizi...
Princing European options on instruments with a constant dividend yield:The randomized discrete-time approach
Option pricing dividends randomization alternative models
2009/9/21
Due to the well-known fact that market returns are not
normally distributed, we use generalized hyperbolic distributions for
pricing options in a randomized discrete-time setup. The obtained
formul...
Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
Econophysics Financial risk European options Fat-tailed distributions Student’s t-distribution
2010/11/1
The distribution of the returns for a stock are not well described by a normal probability density function (pdf). Student’s t -distributions, which have fat tails, are known to fit the distributions ...
