Interest-rate option pricing revisited
Article Abstract:
Options on Treasury bonds or T-bills are not ideal alternatives for determining the value of interest rate caps since these may result in pricing error. Hedging instruments must also be carefully chosen because these may affect the pattern of cash flow of the interest rate exposure. The selection of fundamental securities for replicating complex securities have been done using a contingent claims framework for options of interest-rate contingent securities. The same has also been accomplished with a European put option on a T-bill for the earnings on an interest rate cap.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1996
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Option pricing under extended normal distribution
Article Abstract:
A closing price formula for European options when the return of the underlying assets follows skewness and kurtosis relative to the normal distribution induced by black- scholes model is mentioned.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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An application of finite elements to option pricing
Article Abstract:
Issues concerning a study of pricing options are discussed with emphasis on the use of the finite element method. The benefits of using this method including its versatility are described.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
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