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Showing 1 to 16 of 16 for “"Options Pricing"”.
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Error analysis of the COS method for options pricing
… the use of the Fourier cosine (COS) method for pricing European options under a variety of Lévy process models. The COS method is a Fourier-based technique that leverages the characteristic function of an asset’s returns to efficiently compute option prices. We apply it to five representative …
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Implications for IR&D decisions using options pricing theory
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1984.
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The mathematical modelling and numerical solution of options pricing problems
… have been described for a selection of financial options pricing problems. The methods are based on finite difference discretisation coupled with optimal solvers of the resulting discrete systems. Regular Cartesian meshes have been combined with orthogonal co-ordinate transformations chosen for …
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Novel fitted multi-point flux approximation methods for options pricing
It is well known that pricing options in finance generally leads to the resolution of the second order Black-Scholes Partial Differential Equation (PDE). Several studies have been conducted to solve this PDE for pricing different type of financial options. However the Black-Scholes PDE has an …
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Novel fitted schemes based on mimetic finite difference method for options pricing
… them have analytical solutions. Indeed, in the pricing of derivative securities such as European options, the underlying PDE, the so called Black-Scholes equation, is known to have a closed-form solution when the coefficients are constant. In the case of an American put option, however, there is …
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Nonparametric and Parametric Analyses on the Forward Rate Volatilities and Their Implications on Interest Rate Options Pricing
… the volatility movement and in American options pricing.
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Pricing interest rate contingent claims
… claims in several ways. First, futures pricing models and futures options pricing models are derived. These models are under the settings of both single state variable and two state variables. The derivations make use of regular techniques in solving partial differential equations and …
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Pricing European options using Monte Carlo methods
European-style options are quite popular nowadays. Calculating their theo- retical price is not an easy task because there are many sources of uncertainty. However, we can model these uncertainties with random numbers. In this pa- per I discuss my implemention of two options-pricing programs using …
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Three essays in options pricing: 1. Volatilities implied by price changes in the S&P 500 options and future contracts 2. Price changes in the S&P options and futures contracts: a regression analysis 3. Hedging price changes in the S&P 500 options and futures contracts: the effect of different measures of implied volatility
… are tick-data on pit traded S&P 500 futures options and their underlying from 1998 to 2006. I find that implied price change volatility has similar time series behavior and moneyness and maturity effects as implied volatility. However, the price change volatility is more disperse than implied …
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Essays in applied economics
… volatility. In addition, examination of options prices indicates the intermittent presence of jumps. We find that models which disregard these properties struggle to recover options prices with any precision. Thus, we propose an alternative nonparametric approach to gas options pricing …
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Essays in financial engineering
… we study problems in portfolio optimization and options pricing. The first essay is motivated by the fact that derivative securities are equivalent to specific dynamic trading strategies in complete markets. This suggests the possibility of constructing buy-and-hold portfolios of options that …
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Real options approach to capacity planning under uncertainty
This thesis highlights the effectiveness of Real Options Analysis (ROA) in capacity planning decisions for engineering projects subject to uncertainty. This is in contrast to the irreversible decision-making proposed by the deterministic strategies based on expected estimates of parameters drawn …
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Using High-Frequency Options Data to Evaluate Economic Trading Models
… of economic models based on high-frequency options data. Options data allows for the investigation of heterogeneous effects across moneyness and maturities, and the use of high-frequency data makes it possible to compute various estimates at higher frequencies and analyze the data behaviour …
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Essays in applied financial economics
… volatility. In addition, examination of options prices indicates the intermittent presence of jumps. We find that models which disregard these properties struggle to recover options prices with any precision. Thus, we propose an alternative nonparametric approach to gas options pricing …
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An Application of Artificial Neural Networks in Forecasting Future Oil Price Return Volatilities
… the inverse functions of option and compound options pricing models. Considering the recent importance of commodities in the world economy, it is very important to have a precise prediction of the price volatilities. In order to forecast crude oil futures prices return volatilities, two types …
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Numerical singular perturbation approaches based on spline approximation methods for solving problems in computational finance
Options are a special type of derivative securities because their values are derived from the value of some underlying security. Most options can be grouped into either of the two categories: European options which can be exercised only on the expiration date, and American options which can be …