16 search results - page 2 / 4 » Pricing American-Style Derivatives with European Call Option... |
ISIPTA
2003
IEEE
15 years 4 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 ...
FS
2010
14 years 9 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
15 years 17 days 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
14 years 11 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
14 years 9 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...