On expansions for the Black-Scholes prices and hedge parameters
We derive new formulas for the price of the European call and put options in the Black-Scholes model, under the form of uniformly convergent series generalizing previously known approximations. We also provide precise boundaries for the convergence speed and apply the results to the calculation of hedge parameters (Greeks).
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion
We show how the prices of options can be determined with the help of double-fractional differential equation in such a way that their inclusion in a portfolio of stocks provides a more reliable hedge against dramatic pri…
Pricing Energy Contracts under Regime Switching Time-Changed models
The shortcomings of the popular Black-Scholes-Merton (BSM) model have led to models which could more accurately model the behavior of the underlying assets in energy markets, particularly in electricity and future oil pr…
Extending the Black-Scholes Option Pricing Theory to Account for an Option Market Maker's Funding Costs
An option market maker incurs funding costs when carrying and hedging inventory. To hedge a net long delta inventory, for example, she pays a fee to borrow stock from the securities lending market. Because of haircuts, s…
PositionHedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference
The Black-Scholes option pricing model remains a cornerstone in financial mathematics, yet its application is often challenged by the need for accurate hedging strategies, especially in dynamic market environments. This …
ManagementPortfolio OptimizationHedging with Linear Regressions and Neural Networks
We study neural networks as nonparametric estimation tools for the hedging of options. To this end, we design a network, named HedgeNet, that directly outputs a hedging strategy. This network is trained to minimise the h…