The method for pricing the option in a market with interval number factors is proposed. The no-arbitrage principle in the interval number valued market and the rule to judge the reasonability of a price interval are g...The method for pricing the option in a market with interval number factors is proposed. The no-arbitrage principle in the interval number valued market and the rule to judge the reasonability of a price interval are given. Using the method, the price interval where the riskless interest and the volatility under B-S setting is given. The price interval from binomial tree model when the key factors u, d, R are all interval numbers is also discussed.展开更多
This paper analyzes and values an American barrier option with continuous payment plan written on a dividend paying asset under the classical Black-Scholes model.The integral representation of the initial premium alon...This paper analyzes and values an American barrier option with continuous payment plan written on a dividend paying asset under the classical Black-Scholes model.The integral representation of the initial premium along with the delta hedge parameter for an American continuous-installment down-and-out call option are obtained by using the decomposition technique.This offers a system of nonlinear integral equations for determining the optimal exercise and stopping boundaries,which can be utilized to approximate the option price and delta hedge parameter.The implementation is based on discretizing the quadrature formula in the system of equations and using the Newton-Raphson method to compute the two optimal boundaries at each time points.Numerical results are provided to illustrate the computational accuracy and the effects on the initial premium and optimal boundaries with respect to barrier.展开更多
文摘The method for pricing the option in a market with interval number factors is proposed. The no-arbitrage principle in the interval number valued market and the rule to judge the reasonability of a price interval are given. Using the method, the price interval where the riskless interest and the volatility under B-S setting is given. The price interval from binomial tree model when the key factors u, d, R are all interval numbers is also discussed.
基金supported by the National Natural Science Foundation of China under Grant No.40675023Guangxi Natural Science Foundation under Grant No.0991091
文摘This paper analyzes and values an American barrier option with continuous payment plan written on a dividend paying asset under the classical Black-Scholes model.The integral representation of the initial premium along with the delta hedge parameter for an American continuous-installment down-and-out call option are obtained by using the decomposition technique.This offers a system of nonlinear integral equations for determining the optimal exercise and stopping boundaries,which can be utilized to approximate the option price and delta hedge parameter.The implementation is based on discretizing the quadrature formula in the system of equations and using the Newton-Raphson method to compute the two optimal boundaries at each time points.Numerical results are provided to illustrate the computational accuracy and the effects on the initial premium and optimal boundaries with respect to barrier.
