Figures 1-5 illustrate the effects of basic parameters on vulnerable option prices
where the parameters include the default barrier, long-run mean of stochastic volatility, and jump intensity.
Output early exercise boundaries [S.sup.[theta].sub.f] ([[tau].sub.n]) and American put option prices
[V.sup.n.sub.j] (for j = 0, 1, ..., J([[tau].sub.n]) - 1, [V.sup.n.sub.j] = K - [S.sub.j] and for j = J([[tau].sub.n]), ..., N, [V.sup.n.sub.j] are obtained from FDM (38) with the new boundary condition (41)).
The pricing efficiency of options market can be stated to be prevailing, when there is no significant deviation exists between the theoretical option prices
obtained from the Black and Scholes model and the observed market prices of the options.
In Figure 5, we present how the option prices
vary with the changes of the annual jump intensity v.
The use of Black-Scholes equations in the reduction of banking errors in the computation of fair option prices
is also analyzed.
Wiener, 1996, "General-Properties of Option Prices
", Journal of Finance, 51:1573-1610
When a new solicitation is issued, however, the option prices
are disclosed because the evaluation of bids or offers is based on whether they are better than the option.
The IRS argues that T singly (or she and H jointly) did not own enough T Steel stock to change the option prices
from the 1951 buy-sell agreement.
quoted in the newspapers have to be multiplied by 100 because each option represents 100 shares.
- - Mar 2000 - - - (One unit: 300-Index times 10,000) TOPIX Option Closing Prices on Tokyo Stock Exchange Standard Option Prices
(Points) Prices (Points) (Mar) UP/DN (Apr) UP/DN Put 1,150 11.0 DN 2.0 - - 1,175 - - -
In this section, we adopt Monte Carlo simulation to preform numerical experiments for the vulnerable European call option prices
under the regime-switching jump-diffusion models.
Then Hull and White  assuming variance of asset price was subject to Geometric Brownian motion showed that option price
was equal to mean value of Black-Scholes option prices
of average variance of yield rates within duration of options.