A note on modified lattice approaches to option pricing

Article Abstract:

Some of the numerical procedures for valuing options include Monte Carlo simulation, lattice procedures and finite difference methods. Tian (1993) has examined the numerical efficiency of lattice models. His alternative binomial model had greater numerical efficiency than the Cox, Ross and Rubenstein (1979)(CRR) model with respect to call and American put options. The CRR model, on the other hand, had greater efficiency than his alternative model with respect to European put options. It is shown that Tian's model is not more numerically efficient than the Cos, Ross and Rubenstein paradigm.

Prices and rates, Lattice theory, Commodity options

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Put-call parity with futures-style margining

Article Abstract:

The Sydney Futures Exchange (SFE) in Australia is an example of a market where futures-style margining occurs for futures option contracts. A relationship exists between the number of trades in the call options and the number of trades in the put options. An equation may be derived to model the parity relationships. Application of the equation to SFE data shows that a put-call precise parity relationship exists in 15%-35% of all futures options traded.

Securities & Commodities Exchanges, Analysis, Australia, Futures market, Futures markets, Securities, Sydney, Australia, Margins (Futures trading)

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Commodity futures trading performance using neural network models versus ARIMA models

Article Abstract:

Neural networks trading returns are compared out-of-sample with traditional ARIMA returns for corn, silver, and deutsche mark. Results reveal that neural network and ARIMA model had positive returns, and at about the same levels. However, deutsche mark was less profitable and returns were not statistically different from zero, in contrast to corn and silver.

Legislative Bodies, Finance, Computer networks, Neural networks

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