affect the option pricing model. This paper has shown that with no arbitrage, i.e., under the Arbitrage (Gordan) theorem …-Scholes-Merton option pricing formula require that risk-free interest rate be a linear function of underlying asset’s expected rate of …

In this article we discuss fundamentals of the debt securities pricing. We begin with a generalization of the present … concept does not sufficiently accurate in producing instrument pricing. The incompleteness of the unique present value … new valuation method of the fixed income securities. The primary goal of this paper is a credit derivative pricing method …

This paper deals with the option-pricing problem. In the first part of the paper we study in details the discrete … setting of the option-pricing problem usually referred to as the binomial scheme. We highlight basic differences between the … that real world option value at maturity will be bellow chosen number. This probability is a pricing risk of the option …

known as duration, and show how option prices can be alculated using this model. We use ultra-high-frequency data for blue …

this method, one may write the option price as a Fourier series, with suitable coefficients. We propose a simple approach …