16 search results - page 2 / 4 » Pricing American-Style Derivatives with European Call Option... |
ISIPTA
2003
IEEE
14 years 19 days ago
2003
IEEE
The European call option prices have well-known formulae in the Cox-RossRubinstein model [2], depending on the volatility of the underlying asset. Nevertheless it is hard to give ...
FS
2010
13 years 5 months ago
2010
We find robust model-free hedges and price bounds for options on the realized variance of [the returns on] an underlying price process. Assuming only that the underlying process ...
CATS
2007
13 years 8 months ago
2007
Financial derivatives are contracts concerning rights and obligations to engage in future transactions on some underlying financial instrument. A major concern in financial mark...
SIAMSC
2008
13 years 7 months ago
2008
Numerical methods are developed for pricing European and American options under Kou's jump-diffusion model which assumes the price of the underlying asset to behave like a ge...
FS
2010
13 years 5 months ago
2010
Abstract A time-dependent double-barrier option is a derivative security that delivers the terminal value φ(ST ) at expiry T if neither of the continuous time-dependent barriers b...