For the quadratic model as well as the multifactor Cox-Ingersoll-Ross square-root model, explicit pricing formulae in terms of one-dimensional integrals of elementary functions are given for bond options, bond exchange options, caps, options on bond futures and forward contracts, and futures ...
2.The pricing formula of the geometric Asian exchange option related with exchange rate;与汇率相关的几何平均亚式交换期权定价公式 3.Valuation of exchange options in jump-diffusion models;跳扩散模型中交换期权的定价 5)power tranfer权力转换 6)water right transfer水权转换 1.Studies on compensation system...
Substituting for S in the spot currency call option formula produces: C=e−rt*FtTNd1−XNd2 where: d1=lnFtT/X+12σ2t*σt*d2=d1−σt* Comparison of this formula with the general formula for options on futures contracts reveals that the two results are the same, confirming the ...
Broadly, vanilla options will use either Black and Scholes or a Binomial model for theoretical pricing. Analytical models are computationally cheap i.e they are fast and effecient at calculating as the result is provided by a closed formula. Numerical models on the other hand are typically more ...
Option Pricing Models are mathematical models that use certain variables to calculate the theoretical value of an option. The theoretical value of an
Another type of spreading strategy involves buying and selling futures contracts of different maturities on the same underlying commodity. It is similar to the cash-and-carry strategy. Besides, we can also do this in different markets (intramarket spread v.s. intermarket spread). ...
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We also note that they used financial knowledge in this construction, namely the "homogeneity property" of the option pricing formula (Merton 1990), which justifies the use of the moneyness rather than the underlying price and strike price separately. Another important question this paper raises is...
Black‐Scholes formulaoption strategiesperformance measurementprofit functionreturn distributionreturn functionSharpe ratioThis chapter discusses pricing of futures, the put-call parity, and the American call options. It then focuses on binary models. In these models the price of a stock can at any ...
In this paper I develop a model for the pricing of a European-type option to exchange one asset for another. I prove that a similar American-type option is never exercised until the last possible moment. Thus, the formula for the value o... W Margrabe - 《Journal of Finance》 被引量...