Pricing European Options with Triangular Fuzzy Parameters: Assessing Alternative Triangular Approximations in the Spanish Stock Option Market
Sign Up to like & getrecommendations! Published in 2018 at "International Journal of Fuzzy Systems"
DOI: 10.1007/s40815-018-0468-5
Abstract: The aim of this paper is contributing from a practical and empirical perspective to option pricing under fuzziness. When we evaluate Black–Scholes option pricing formula with triangular fuzzy numbers, we obtain a non-triangular price that… read more here.
Keywords: triangular approximations; european options; option; pricing european ... See more keywords
ADI schemes for valuing European options under the Bates model
Sign Up to like & getrecommendations! Published in 2018 at "Applied Numerical Mathematics"
DOI: 10.1016/j.apnum.2018.04.003
Abstract: This paper is concerned with the adaptation of alternating direction implicit (ADI) time discretization schemes for the numerical solution of partial integro-differential equations (PIDEs) with application to the Bates model in finance. Three different adaptations… read more here.
Keywords: european options; valuing european; adi schemes; schemes valuing ... See more keywords
Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model
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DOI: 10.3390/risks7020036
Abstract: We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed. read more here.
Keywords: pricing hedging; model; simple formulas; hedging european ... See more keywords