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OPTION: 作品数：409被引量：479H指数：10; 导出分析报告; 相关作者：刘全沈晶刘海波顾国昌张晓艳更多>>; 相关机构：苏州大学哈尔滨工程大学苏州浪潮智能科技有限公司吉林大学更多>>; 相关期刊：更多>>; 相关基金：国家自然科学基金中国博士后科学基金上海市教育委员会重点学科基金国家社会科学基金更多>>

Pricing Multi-Strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates: 《Applied Mathematics》2025年第1期113-142,共30页Boris Ter-Avanesov Gunter Meissner; Quanto options allow the buyer to exchange the foreign currency payoff into the domestic currency at a fixed exchange rate. We investigate quanto options with multiple underlying assets valued in different foreign cur...; 关键词：Quanto Option Multi-Strike Option Stochastic Volatility (SV) Stochastic Correlation (SC) Stochastic Exchange Rates (SER) CORA GORA Correlation Risk

A Full Asymptotic Series of European Call Option Prices in the SABR Model with Beta = 1: 《Applied Mathematics》2019年第6期485-512,共28页Z. Guo H. Schellhorn; We develop two new pricing formulae for European options. The purpose of these formulae is to better understand the impact of each term of the model, as well as improve the speed of the calculations. We consider the S...; 关键词：SABR MODEL Stochastic VOLATILITY Malliavin CALCULUS Exponential Formula OPTION PRICING

Integral Representations for the Price of Vanilla Put Options on a Basket of Two-Dividend Paying Stocks: 《Applied Mathematics》2015年第5期783-792,共10页Sunday Emmanuel Fadugba Chuma Raphael Nwozo; This paper presents integral representations for the price of vanilla put options, namely, European and American put options on a basket of two-dividend paying stocks using integral method based on the double Mellin t...; 关键词：BLACK-SCHOLES Partial differential Equation Double Mellin Transform Early Exercise PREMIUM VANILLA Basket PUT OPTION

The Barone-Adesi Whaley Formula to Price American Options Revisited: 《Applied Mathematics》2015年第2期382-402,共21页Lorella Fatone Francesca Mariani Maria Cristina Recchioni Francesco Zirilli; This paper presents a method to solve the American option pricing problem in the Black Scholes framework that generalizes the Barone-Adesi, Whaley method [1]. An auxiliary parameter is introduced in the American optio...; 关键词：AMERICAN OPTION PRICING PERTURBATION Expansion

Pricing Study on Two Kinds of Power Options in Jump-Diffusion Models with Fractional Brownian Motion and Stochastic Rate: 《Applied Mathematics》2014年第16期2426-2441,共16页Jin Li Kaili Xiang Chuanyi Luo; In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the...; 关键词：STOCHASTIC RATE FRACTIONAL JUMP-DIFFUSION Process FRACTIONAL BROWN Motion Power OPTION

On the Efficacy of Fourier Series Approximations for Pricing European Options: 《Applied Mathematics》2014年第17期2786-2807,共22页A. S. Hurn K. A. Lindsay A. J. McClelland; This paper investigates several competing procedures for computing the prices of vanilla European options, such as puts, calls and binaries, in which the underlying model has a characteristic function that is known in...; 关键词：FOURIER Transform FOURIER Series Characteristic Function OPTION PRICE

Parallel Binomial American Option Pricing under Proportional Transaction Costs: 《Applied Mathematics》2012年第11期1795-1810,共16页Nan Zhang Alet Roux Tomasz Zastawniak; We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to trading in the underlying asset. The algorithm computes the prices on recombining...; 关键词：PARALLEL Algorithm American OPTION PRICING BINOMIAL Tree Model TRANSACTION COSTS

Black-Scholes Option Pricing Model Modified to Admit a Miniscule Drift Can Reproduce the Volatility Smile: 《Applied Mathematics》2012年第6期597-605,共9页Matthew C. Modisett James A. Powell; This paper develops a closed-form solution to an extended Black-Scholes (EBS) pricing formula which admits an implied drift parameter alongside the standard implied volatility. The market volatility smiles for vanilla...; 关键词：OPTION PRICING BLACK-SCHOLES VOLATILITY SMILE

An Extension of the Black-Scholes and Margrabe Formulas to a Multiple Risk Economy: 《Applied Mathematics》2011年第4期427-432,共6页Werner Hürlimann; We consider an economic model with a deterministic money market account and a finite set of basic economic risks. The real-world prices of the risks are represented by continuous time stochastic processes satisfying a...; 关键词：State-Price Deflator OPTION PRICING BLACK-SCHOLES MODEL Vasicek MODEL Margrabe Formula

Pricing European Call Currency Option Based on Fuzzy Estimators: 《Applied Mathematics》2011年第4期461-464,共4页Xing Yu Hongguo Sun Guohua Chen; In this paper we present an application of fuzzy estimators method to price European call currency option. We make use of fuzzy estimators for the volatility of exchange rate which based on statistical data to obtain ...; 关键词：CURRENCY OPTION FUZZY ESTIMATORS FUZZY VOLATILITY G-K Model

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