Research ArticleOpen accessIn the keywordsOn the Valuation of Currency Options in Stressed MarketsAbdulnasser Hatemi-J, Youssef El-KhatibThe current article handles the valuation of currency options in the market that is suffering from a financial crisis. The standard formulas for this purpose do not perform accurately. European foreign currency exchange options for both the call and the put versions are dealt with. It is assumed that the value of the underlying asset is a stochastic process that … …Journal of Mathematics and Statistics, Vol. 17, Issue 1 · 24 Dec 2021 · 6,499 accessesView PDFCite
Research ArticleOpen accessIn the abstractAn Approximate Formula of European Option for Fractional Stochastic Volatility Jump-Diffusion ModelP. Sattayatham, A. IntarasitProblem statement: We presented option pricing when the stock prices follows a jumpdiffusion model and their stochastic volatility follows a fractional stochastic volatility model. This proposed model exhibits the a memory of a stochastic volatility model that is not expressed in the classical stochastic volatility model. Approach: We introduce an approximated method to fractional stochastic volatility model perturbed by the … …Journal of Mathematics and Statistics, Vol. 7, Issue 3 · 27 Jul 2011 · 7,964 accessesView PDFCite
Research ArticleOpen accessAll words, across the recordImperfectly-Rational Agents, Volatility of Reserves and Customer MarketsPartha Gangopadhyay, Renu GangopadhyayPotential customers in customer markets are typically dichotomised into actual and prospective customers. If the firm holds its price firm, the actual customers hold their reserves/reservation price firm and repeat their purchases. On the other hand, prospective customers’ reserves may be volatile due to their non-equilibrium market experience. One may regard a prospective buyer with a volatile reserve as imperfectly … …American Journal of Applied Sciences, Vol. 2, Issue 13 · 11 Dec 2005 · 8,206 accessesView PDFCite