We provide evidence of a strong effect of the underlying stock's illiquidity on option prices by showing that the … translates into significant excess returns of option trading strategies that are not explained by common risk factors. Simulation … chosen illiquidity measure, the measure of option expensiveness, and the return period. …

convex and can be represented in a closed form. We provide an option pricing algorithm in this scenario and we present exact …

In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman in 1997 to price a π-option. This … with the increasing depth of the tree. Under specific parametrization, this π-option is related to relative maximum …

effect of each model on the prediction of the current options prices, using the regression analysis, and the Nifty50 option …

value of an American option. If this regression is ill-posed, the procedure might deliver biased results. The price of the … American option might even fall below the price of its European counterpart. For call options, this is likely to occur when the …

pricing approach is that we interpret price of the option as a settlement price between buyer and seller of the option while … benchmark approach pricing defines option price as settlement between borrower and option buyer. This paper represents a Journal … most significant changes was done for 'a chooser or as-you-like' option model …

Compound options are options for which the underlying is another option. In other words, a compound option is an option … written on an option. In this paper, we present two new approaches to compound option pricing. The first approach relies on …

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

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 …