option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. The paper is …

additional cash flow, which could not be imbedded in BS pricing scheme, and therefore BS option price cannot be derived without … additional cash flow which affects BS option price …

Closed-form pricing formulae and option Greeks are obtained for European-type options using an orthogonal polynomial …

This paper addresses several theoretical and practical issues in option pricing and implied volatility calibration in a … in general that any FBSI volatility surface will be free from calendar-spread arbitrage. The FBSI model is empirically …

option and sells a weighted average of European calls on each asset. In this case, the following important question arises …

. Although, in general, the models are incapable of representing the entire call option surface because of the low number of …

In this paper, I have used simple arbitrage argument to derive a dozen of model-free option price properties. In … view, a European call (put) option for a non-dividend-paying asset can also be a European call (put) option for any other … non-dividend-paying asset, and every non-dividend-paying asset is also both a European call option and a European put …

An option market maker incurs funding costs when carrying and hedging inventory. To hedge a net long delta inventory … (borrowed cash and invested cash earning different interest rates) and realistic stock financing cost into the classic option … pricing theory. It is shown that an option position can be dynamically replicated and self financed in the presence of these …