Accuracy and Reliability Considerations of Option Pricing Algorithms

Article Abstract:

This article on some of the theoretical issues on construction and analysis of option-pricing algorithms, assesses the tree methods and finite difference schemes, analyses approaches to the construction of numerical algorithms, summarizes their similarities and differences, and offers results and conclusions.

Hong Kong, Stock Options, Statistical Data Included, Prices and rates, Securities, Securities prices, Executive compensation

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Consistent calibration of HJM models to cap implied volatilities

Article Abstract:

A calibration algorithm that matches the multifactor Gaussian HJM (Heath, Jarrow and Morton) models to the cap implied volatilities, with the respective minimal consistent family use to conclude the forward-rate curve is proposed.

United Kingdom, Forecasts, trends, outlooks, Forecasts and trends, Futures market, Futures markets, Market trend/market analysis, Calibration, Algorithm

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Pricing continously sampled Asian options with perturbation methods

Article Abstract:

The prices of various Asian options, like the arithmetic and geometric Asian options are explored. A partial differential equation (PDE) is then solved by using a perturbation method.

Asia, Methods, Differential equations, Partial, Partial differential equations

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