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The Variance of Standard Option Returns
Variance of Standard Option Returns Pricing of Securities
2012/4/28
The vast majority of works on option pricing operate on the assumption of risk neutral valuation, and consequently focus on the expected value of option returns, and do not consider risk parameters, s...
Preferences, Lévy Jumps and Option Pricing
equilibrium option pricing recursive utility Levy jumps
2011/4/2
This paper derives an equilibrium formula for pricing European options and other contingent claims which allows incorporating impacts of several important economic variable on security prices includin...
Denoising Surprises in Option Pricing
financial time series option premium attenuated volatility
2011/3/30
We perform wavelet decomposition of high frequency financial time series into high and low-energy spectral sectors. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns ...
Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
Entropy Information Theory I-Divergence Asset Distribution Option Pricing Volatility Smile
2010/10/29
We obtain the Maximum Entropy distribution for an asset from call and digital option prices. A
rigorous mathematical proof of its existence and exponential form is given, which can also be applied to...
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
option pricing jump diffusion models
2010/10/18
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a par...
Extra-Dimensional Approach to Option Pricing and Stochastic Volatility
Extra-Dimensional Option Pricing Stochastic Volatility
2010/10/18
The generalized 5D Black-Scholes differential equation with stochastic volatility is derived. The projections of the stochastic evolutions associated with the random variables from an enlarged space o...
Adaptive Wave Models for Option Pricing Evolution: Nonlinear and Quantum Schrödinger Approaches
Black--Scholes option pricing adaptive nonlinear Schr\"odinger equation
2010/10/18
Adaptive wave model for financial option pricing is proposed, as a high-complexity alternative to the standard Black--Scholes model. The new option-pricing model, representing a controlled Brownian mo...
A policyholder's utility indifference valuation model for the guaranteed annuity option
Indi erence Valuation Guaranteed Annuity Option g.a.o Incom-plete Markets Insurance Life Annuity Annuitization Optimal Asset Allocation
2010/11/2
Insurance companies often include very long-term guarantees in par-ticipating life insurance products, which can turn out to be very valuable.Under a guaranteed annuity options (g.a.o.), the insurer g...
Recovering a time-homogeneous stock price process from perpetual option prices
time-homogeneous stock price perpetual option prices
2010/10/29
It is well-known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion.In the present paper we consider the inverse problem, i.e. given...
A Review of Volatility and Option Pricing
Option pricing volatility models risk neutral valuation empirical volatility
2010/10/29
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and...