Integrating delta: an intuitive single-integral approach to pricing European options on diverse stochastic processes

DOI10.1016/J.ECONLET.2006.01.010MaRDI QIDQ1929374zbMATH OpenOpenAlexFDO

Authors Craig Edwards

Publication date 8 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2006.01.010

zbMATH Keywords

derivativesnumerical methodsoption pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• The Henstock integral and the Black-Scholes theory of derivative asset pricing
• Pricing European options under jump-diffusion models
• The multidimensional Black-Scholes pricing model under a stochastic interest rate
• Integral price formulas for lookback options
• A closed-form pricing formula for european exchange options with stochastic volatility

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Option pricing when underlying stock returns are discontinuous
• Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
• The pricing of options and corporate liabilities
• The Variance Gamma Process and Option Pricing
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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