Option pricing is calculated using the Black-Scholes model, which takes four influential factors into account: the price of an underlying stock (assuming constant drift and volatility), an option’s ...

The Bjerksund-Stensland model is a key method for pricing American options. It helps investors determine optimal times for exercising options with dividends considered.

The option Greeks are key metrics that you need to know if you’re trading options. The Greeks help traders understand how options prices will move in response to changes in major factors such as the ...

American options, which allow early exercise at any point prior to expiry, present a unique challenge in quantitative finance. Their valuation gives rise to free-boundary problems that are typically ...

Fuzzy set theory has emerged as a powerful tool to address the inherent imprecisions and uncertainties in financial modelling, notably in option pricing. By incorporating fuzziness into conventional ...

Our method for call options is summarised in the following algorithm: (1) We device the time interval into the grid 0≡t_0<t_1<...<t_n≡T and let D_0,D_1...,D_n be some values for the underlying asset ...

An option price is the value of an option contract. The option price is determined by the extrinsic and intrinsic value of the option contract. Options are contracts that allow investors to buy or ...

Options trading can often be complex, but understanding how these financial instruments are priced is crucial for anyone diving into this market. Options derive their value from an underlying asset, ...