The valuation of knock-out power calls under Black–Scholes framework
| dc.citation.epage | 64 | |
| dc.citation.issue | 1 | |
| dc.citation.spage | 57 | |
| dc.contributor.affiliation | Університет Путра Малайзія | |
| dc.contributor.affiliation | Universiti Putra Malaysia | |
| dc.contributor.author | Савал, А. С. | |
| dc.contributor.author | Ібрагім, С. Н. | |
| dc.contributor.author | Лагам, М. Ф. | |
| dc.contributor.author | Sawal, A. S. | |
| dc.contributor.author | Ibrahim, S. N. I. | |
| dc.contributor.author | Laham, M. F. | |
| dc.coverage.placename | Львів | |
| dc.coverage.placename | Lviv | |
| dc.date.accessioned | 2023-12-13T09:11:10Z | |
| dc.date.available | 2023-12-13T09:11:10Z | |
| dc.date.created | 2021-03-01 | |
| dc.date.issued | 2021-03-01 | |
| dc.description.abstract | Степеневі кол опціони-нокаут — це опціони, які включають бар’єри для оцінки опціонів. Введення бар’єрів для опціонів зменшує витрати на утримання опціонів, які, як відомо, мають більший важіль, ніж стандартні ванільні опціони. У цій статті оцінюються степеневі кол опціони-нокаут за допомогою моделювання Кранка–Ніколсона та Монте–Карло в описі Блека–Шоулза. Результати показують, що моделювання Кранка–Ніколсона є більш точним і ефективним, ніж моделювання Монте–Карло, для визначення ціни на степеневі кол опціони-нокаут. | |
| dc.description.abstract | Knock-out power calls are options that incorporate barriers to the valuation of power calls. Introducing barriers to power calls reduces the costs to hold power calls which are known to have higher leverage than the standard vanillas. In this paper, we model the valuation of knock-out power calls using Crank–Nicolson and Monte Carlo simulation under Black–Scholes environment. Results show that Crank–Nicolson is more accurate and more efficient than Monte Carlo simulation for pricing knock-out power calls. | |
| dc.format.extent | 57-64 | |
| dc.format.pages | 8 | |
| dc.identifier.citation | Sawal A. S. The valuation of knock-out power calls under Black–Scholes framework / A. S. Sawal, S. N. I. Ibrahim, M. F. Laham // Mathematical Modeling and Computing. — Lviv : Lviv Politechnic Publishing House, 2022. — Vol 9. — No 1. — P. 57–64. | |
| dc.identifier.citationen | Sawal A. S. The valuation of knock-out power calls under Black–Scholes framework / A. S. Sawal, S. N. I. Ibrahim, M. F. Laham // Mathematical Modeling and Computing. — Lviv : Lviv Politechnic Publishing House, 2022. — Vol 9. — No 1. — P. 57–64. | |
| dc.identifier.doi | 10.23939/mmc2022.01.057 | |
| dc.identifier.uri | https://ena.lpnu.ua/handle/ntb/60555 | |
| dc.language.iso | en | |
| dc.publisher | Видавництво Львівської політехніки | |
| dc.publisher | Lviv Politechnic Publishing House | |
| dc.relation.ispartof | Mathematical Modeling and Computing, 1 (9), 2022 | |
| dc.relation.references | [1] Heynen R. C., Kat H. M. Pricing and hedging power options. Financial Engineering and the Japanese Markets. 3, 253–261 (1996). | |
| dc.relation.references | [2] Black F., Scholes M. The pricing of options and corporate liabilities. Journal of Political Economy. 81 (3), 637–654 (1973). | |
| dc.relation.references | [3] Ibrahim S. N. I., O’Hara J. G., Constantinou N. Power option pricing via fast Fourier transform. 2012 4th Computer Science and Electronic Engineering Conference (CEEC). 1–6 (2012). | |
| dc.relation.references | [4] Esser A. General valuation principles for arbitrary payoffs and applications to power options under stochastic volatility. Financial Markets and Portfolio Management. 17, 351–372 (2003). | |
| dc.relation.references | [5] Ibrahim S. N. I., O’Hara J. G., Constantinou N. Risk-neutral valuation of power barrier options. Applied Mathematics Letters. 26 (6), 595–600 (2013). | |
| dc.relation.references | [6] Blenman L. P., Clark S. P. Power exchange options. Finance Research Letters. 2 (2), 97–106 (2005). | |
| dc.relation.references | [7] Chen A., Suchanecki M. Parisian exchange options. Quantitative Finance. 11 (8), 1207–1220 (2011). | |
| dc.relation.references | [8] Carr P. The valuation of sequential exchange opportunities. The Journal of Finance. 43, 1235–1256 (1988). | |
| dc.relation.references | [9] Westermark N. Barrier Option Pricing. Degree Project in Mathematics, First Level. 1–38 (2009). | |
| dc.relation.references | [10] Tompkins R., Hubalek F. On closed form solutions for pricing options with jumping volatility. Unpublished paper: Technical University, Vienna (2000). | |
| dc.relation.references | [11] Lee W. T. Tridiagonal matrices: Thomas algorithm (2011). | |
| dc.relation.references | [12] Boyle P. P. Options: A Monte Carlo approach. Journal of Financial Economics. 4 (3), 323–338 (1977). | |
| dc.relation.references | [13] Ibrahim S. N., O’Hara J. G., Constantinou N. Pricing extendible options using the fast Fourier transform. Mathematical Problems in Engineering. 2014, Article ID 831470 (2014). | |
| dc.relation.references | [14] Ibrahim S. N., Diaz-Hernandez A., O’Hara J. G., Constantinou N. Pricing holder-extendable call options with mean-reverting stochastic volatility. The ANZIAM Journal. 61 (4), 382–397 (2019). | |
| dc.relation.referencesen | [1] Heynen R. C., Kat H. M. Pricing and hedging power options. Financial Engineering and the Japanese Markets. 3, 253–261 (1996). | |
| dc.relation.referencesen | [2] Black F., Scholes M. The pricing of options and corporate liabilities. Journal of Political Economy. 81 (3), 637–654 (1973). | |
| dc.relation.referencesen | [3] Ibrahim S. N. I., O’Hara J. G., Constantinou N. Power option pricing via fast Fourier transform. 2012 4th Computer Science and Electronic Engineering Conference (CEEC). 1–6 (2012). | |
| dc.relation.referencesen | [4] Esser A. General valuation principles for arbitrary payoffs and applications to power options under stochastic volatility. Financial Markets and Portfolio Management. 17, 351–372 (2003). | |
| dc.relation.referencesen | [5] Ibrahim S. N. I., O’Hara J. G., Constantinou N. Risk-neutral valuation of power barrier options. Applied Mathematics Letters. 26 (6), 595–600 (2013). | |
| dc.relation.referencesen | [6] Blenman L. P., Clark S. P. Power exchange options. Finance Research Letters. 2 (2), 97–106 (2005). | |
| dc.relation.referencesen | [7] Chen A., Suchanecki M. Parisian exchange options. Quantitative Finance. 11 (8), 1207–1220 (2011). | |
| dc.relation.referencesen | [8] Carr P. The valuation of sequential exchange opportunities. The Journal of Finance. 43, 1235–1256 (1988). | |
| dc.relation.referencesen | [9] Westermark N. Barrier Option Pricing. Degree Project in Mathematics, First Level. 1–38 (2009). | |
| dc.relation.referencesen | [10] Tompkins R., Hubalek F. On closed form solutions for pricing options with jumping volatility. Unpublished paper: Technical University, Vienna (2000). | |
| dc.relation.referencesen | [11] Lee W. T. Tridiagonal matrices: Thomas algorithm (2011). | |
| dc.relation.referencesen | [12] Boyle P. P. Options: A Monte Carlo approach. Journal of Financial Economics. 4 (3), 323–338 (1977). | |
| dc.relation.referencesen | [13] Ibrahim S. N., O’Hara J. G., Constantinou N. Pricing extendible options using the fast Fourier transform. Mathematical Problems in Engineering. 2014, Article ID 831470 (2014). | |
| dc.relation.referencesen | [14] Ibrahim S. N., Diaz-Hernandez A., O’Hara J. G., Constantinou N. Pricing holder-extendable call options with mean-reverting stochastic volatility. The ANZIAM Journal. 61 (4), 382–397 (2019). | |
| dc.rights.holder | © Національний університет “Львівська політехніка”, 2022 | |
| dc.subject | степеневі кол опціони | |
| dc.subject | степеневі кол опціони-нокаут | |
| dc.subject | моделювання Блека–Шоулза | |
| dc.subject | Кранка–Ніколсона | |
| dc.subject | Монте–Карло | |
| dc.subject | power calls | |
| dc.subject | knock-out power calls | |
| dc.subject | Black–Scholes | |
| dc.subject | Crank–Nicolson | |
| dc.subject | Monte Carlo simulation | |
| dc.title | The valuation of knock-out power calls under Black–Scholes framework | |
| dc.title.alternative | Оцінка степеневих кол опціонів-нокаут за описом Блека–Шоулза | |
| dc.type | Article |
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