Journal
JOURNAL OF RADIATION RESEARCH AND APPLIED SCIENCES
Volume 17, Issue 1, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.jrras.2023.100732
Keywords
-
Ask authors/readers for more resources
This study aims to analyze the probability distribution functions of the maximum value of skew-Brownian motion and the stock price process driven by the maximum value of skew-Brownian motion. It also aims to derive pricing formulas for European style call options, based on the maximum value of skew-Brownian motion and the stock price process driven by it. The developed formulas are applied to price binary (Cash or Nothing) options.
The objective of this study is twofold. Firstly, to study the probabilistic distribution functions of maximum of skew-Brownian motion (SKBM) and stock price process driven by maximum of skew-Brownian motion. Secondly, to derive the pricing formulas of European style call options (with general payoff D(St)), contingent upon the maximum of skew-Brownian motion and stock price process driven by maximum of skew-Brownian motion. As an application of developed formulas, we have priced the binary (Cash or Nothing) options.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available