Add to ORKGThe paper presents a discrete-time model of nancial market, where the risky returns form a two-state Markov chain. The model gives rise to a simple numer- ical procedure for valuing European options. The generalization of the classical Cox-Ross-Rubinstein formula is derived. The price of European call option is estimated by Monte - Karlo simulation
This article develops an option valuation model in the context of a discrete-time double Markovian r...
The aim of this paper is the pricing of European options in a multiperiod binomial model characteris...
This paper suggests a numerical method for valuation of European and American options under the two ...
Copyright c ⃝ 2014 Petar Radkov. This is an open access article distributed under the Creative Commo...
The aim of this paper is the presentation of new models for option pricing that are discrete in time...
In this paper, we derive an analytic formula for pricing European call options under the setting of ...
[[abstract]]In this article, we consider a model of time-varying volatility which generalizes the cl...
An exact solution for the valuation of the options of the European style can be obtained using the B...
In this article, we consider a model of time-varying volatility which generalizes the classical Blac...
Title: Option Pricing Author: Radek Moravec Department: Department of Probability and Mathematical S...
This paper introduces the notion of option pricing in the context of financial markets. The discrete...
MasterWe consider an option pricing model with transaction costs in a discrete-time framework. Europ...
We discuss the pricing and risk management problems of standard European-style options in a Markovia...
The CRR binomial model is one of the most important models in financial mathematics. In this thesis ...
This article discusses option pricing in a Markov regime-switching model with a random acceleration ...
This article develops an option valuation model in the context of a discrete-time double Markovian r...
The aim of this paper is the pricing of European options in a multiperiod binomial model characteris...
This paper suggests a numerical method for valuation of European and American options under the two ...
Copyright c ⃝ 2014 Petar Radkov. This is an open access article distributed under the Creative Commo...
The aim of this paper is the presentation of new models for option pricing that are discrete in time...
In this paper, we derive an analytic formula for pricing European call options under the setting of ...
[[abstract]]In this article, we consider a model of time-varying volatility which generalizes the cl...
An exact solution for the valuation of the options of the European style can be obtained using the B...
In this article, we consider a model of time-varying volatility which generalizes the classical Blac...
Title: Option Pricing Author: Radek Moravec Department: Department of Probability and Mathematical S...
This paper introduces the notion of option pricing in the context of financial markets. The discrete...
MasterWe consider an option pricing model with transaction costs in a discrete-time framework. Europ...
We discuss the pricing and risk management problems of standard European-style options in a Markovia...
The CRR binomial model is one of the most important models in financial mathematics. In this thesis ...
This article discusses option pricing in a Markov regime-switching model with a random acceleration ...
This article develops an option valuation model in the context of a discrete-time double Markovian r...
The aim of this paper is the pricing of European options in a multiperiod binomial model characteris...
This paper suggests a numerical method for valuation of European and American options under the two ...