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.

Derivatives (Financial instruments), Hedging (Finance)

---

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.

South Korea, Statistical methods

---

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.

Finite element method

Similar abstracts:

• Abstracts: Factors related to information acquisition in exporting organizations. Export intention, beliefs, and behaviors in smaller industrial firms
• Abstracts: Cerro Cahui. Tobacco promotion restrictions: Ironies and unintended consequences
• Abstracts: Adoption of continuous processing technologies: its strategic importance in standardized industrial product-markets
• Abstracts: Mexico toughens transfer pricing documentation requirements. Navigating key international tax provisions
• Abstracts: A new six 'S' framework on the relationship between the role of information systems (IS) and competencies in 'IS' management

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.