40 search results - page 2 / 8 » Option Pricing for Weighted Average of Asset Prices |
SAC
2002
ACM
13 years 4 months ago
2002
ACM
The theoretical price of a financial option is given by the expectation of its discounted expiry time payoff. The computation of this expectation depends on the density of the val...
WSC
2004
13 years 6 months ago
2004
Monte Carlo simulation can be readily applied to asset pricing problems with multiple state variables and possible path dependencies because convergence of Monte Carlo methods is ...
CORR
2002
Springer
13 years 4 months ago
2002
Springer
In a seminal paper in 1973, Black and Scholes argued how expected distributions of stock prices can be used to price options. Their model assumed a directed random motion for the ...
FS
2010
13 years 3 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 ...
ISIPTA
2003
IEEE
13 years 10 months 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 ...