Search Results - subject:"average options"

Moving average options : machine learning and Gauss-Hermite quadrature for a double non-Markovian problem

Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: European journal of operational research : EJOR 303 (2022) 2, pp. 958-974

Persistent link: https://www.econbiz.de/10013364051

Pricing average and spread options under local-stochastic volatility jump-diffusion models

Shiraya, Kenichiro; Takahashi, Akihiko - In: Mathematics of operations research 44 (2019) 1, pp. 303-333

Persistent link: https://www.econbiz.de/10012001122

Equivalent martingale measure in Asian geometric average option pricing

Zhu, Yonggang - In: Journal of mathematical finance 4 (2014) 4, pp. 304-308

Persistent link: https://www.econbiz.de/10011312412

Pricing average options under time-changed Lévy processes

Yamazaki, Akira - In: Review of derivatives research 17 (2014) 1, pp. 79-111

Persistent link: https://www.econbiz.de/10010519294

Pricing average options under time-changed Lévy processes

Yamazaki, Akira - In: Review of Derivatives Research 17 (2014) 1, pp. 79-111

This paper presents an approximate formula for pricing average options when the underlying asset price is driven by …

Persistent link: https://www.econbiz.de/10010867556

Freight options : price modelling and empirical analysis

Nomikos, Nikos K.; Kyriakou, Ioannis; Papapostolou, Nikos C. - In: Transportation research / E : an international journal 51 (2013), pp. 82-94

Persistent link: https://www.econbiz.de/10009734013

Freight options: Price modelling and empirical analysis

Nomikos, Nikos K.; Kyriakou, Ioannis; Papapostolou, Nikos C. - In: Transportation Research Part E: Logistics and … 51 (2013) C, pp. 82-94

This paper discusses an extension of the traditional lognormal representation for the risk neutral spot freight rate dynamics to a diffusion model overlaid with jumps of random magnitude and arrival. Then, we develop a valuation framework for options on the average spot freight rate, which are...

Persistent link: https://www.econbiz.de/10010754974

Adaptive placement method on pricing arithmetic average options

Dai, Tian-Shyr; Wang, Jr-Yan; Wei, Hui-Shan - In: Review of Derivatives Research 11 (2008) 1, pp. 83-118

Persistent link: https://www.econbiz.de/10005809713

Pricing Path-Dependent Securities by the Extended Tree Method

Kishimoto, Naoki - In: Management Science 50 (2004) 9, pp. 1235-1248

modeled as a pool of mortgage loans with heterogeneous prepayment costs. The second example is a valuation of American average … options where the average is computed over a moving period with a fixed length. In addition, this paper presents a measure for …

Persistent link: https://www.econbiz.de/10009197491