IJPAM: Volume 98, No. 1 (2015)

ON SOME PARTICULAR MODELS OF OPTION PRICING

R. Ferrentino
Department of Economic and Statistics Sciences
University of Salerno
Fisciano (Salerno), ITALY


Abstract. The options theory has an important role in modern finance theory because the options are excellent mechanisms to control the risk; the options, in fact, are conceived either to reduce the risks of the financial operators (that is as instruments to hedge the financial risk) that for purely speculative purposes. Such speculations are, however, high-risk because they can produce big gains or big losses (it is very high the possibility of losing the whole of invested amount).

The aim of this paper is not to give an exhaustive essay of option theory, but rather to provide some models, for the evaluation of financial options of the European type on actions, which allow to reach to a pricing of the same options coherent with some features of financial markets.

Received: September 10, 2014

AMS Subject Classification: 91G20, 91G60, 91B25

Key Words and Phrases: pricing, approach, models

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DOI: 10.12732/ijpam.v98i1.9 How to cite this paper?

Source:
International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2015
Volume: 98
Issue: 1
Pages: 99 - 121


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