Date: 2019
Type: Article
On the pricing of exotic options : a new closed-form valuation approach
Chaos Solitons & Fractals, 2019, Vol. 122, pp. 153-162
BEKIROS, Stelios D., KOULOUMPOU, Dimitra, On the pricing of exotic options : a new closed-form valuation approach, Chaos Solitons & Fractals, 2019, Vol. 122, pp. 153-162
- https://hdl.handle.net/1814/65997
Retrieved from Cadmus, EUI Research Repository
We provide a novel method to estimate in a closed-form solution the option prices of various exotic options, using techniques based on Laplace-Beltrami operator for estimating diffusion boundary times. We estimate exit times and their expectations, the hitting probabilities, boundary local times until the first hitting and other probabilistic quantities and moment generating functions related to local hitting times. Our findings maybe of paramount importance for traders, investors, speculators and more broadly speaking for financial institutions. (C) 2019 Elsevier Ltd. All rights reserved.
Additional information:
Available online 25 March 2019
Cadmus permanent link: https://hdl.handle.net/1814/65997
Full-text via DOI: 10.1016/j.chaos.2019.03.012
ISSN: 0960-0779; 1873-2887
Publisher: Pergamon-Elsevier Science Ltd
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