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Relevant bibliographies by topics / Vanilla Options

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Academic literature on the topic 'Vanilla Options'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

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Journal articles on the topic "Vanilla Options"

1

BRODY, DORJE C., IRENE C. CONSTANTINOU, and BERNHARD K. MEISTER. "TERM STRUCTURE OF VANILLA OPTIONS." International Journal of Theoretical and Applied Finance 10, no. 08 (2007): 1323–37. http://dx.doi.org/10.1142/s0219024907004676.

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Every maturity-dependent derivative contract entails a term structure. For example, when the value of the portfolio consisting of a long position in a stock and a short position in a vanilla option is expressed in units of its instantaneous exercise value, the resulting quantity defines a discount function. Thus, the derivative of the discount function with respect to the time left until maturity defines a term structure density function, and the "hazard rate" associated with the discount function determines the forward rates for the vanilla option portfolio. The dynamics associated with these

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Lesmana, Donny Citra, David Vijanarco Martal, Unika Nabila, et al. "Stock Hedging Using Strangle Strategy on Vanilla Options and Capped Options." Jurnal Akuntansi dan Keuangan 26, no. 1 (2024): 47–55. http://dx.doi.org/10.9744/jak.26.1.47-55.

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The financial market often experiences unexpected fluctuations that can impact stock values. Therefore, investors require hedging strategies to protect their investment values from unwanted price fluctuations. This study compares the hedging results using the strangle strategy on Vanilla options and Capped options on Micron Technology, Inc. (MU) stock. The methods used are Monte Carlo simulation and Black Scholes Merton to calculate the option prices. The research results indicate that the strangle strategy on Vanilla options has unlimited maximum profit potential, whereas on Capped options, t

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Ghevariya, S. "SOLUTION OF BLACK-SCHOLES EQUATION FOR STANDARD POWER EUROPEAN OPTIONS WITH DISCRETE DIVIDEND PAYMENT." Eurasian Journal of Mathematical and Computer Applications 11, no. 4 (2023): 29–39. http://dx.doi.org/10.32523/2306-6172-2023-11-4-29-39.

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The Nobel Prize celebrated option pricing formulas derived by Fischer Black and Myron Scholes for plain vanilla payoffs known as Black-Scholes formulas. They developed these formulas for pricing European call and put options based on certain assumptions in order to minimize risk factor. The underlying asset pays a constant dividend payment during the life of option was one of the assumption to derive these formulas. S. P. Zhu and X. J. He tried and succeed to improve this assumption by taking discrete dividend payments for underlying asset at fixed dividend date. They derived approximate Black

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Ye, George L. "Asian options versus vanilla options: a boundary analysis." Journal of Risk Finance 9, no. 2 (2008): 188–99. http://dx.doi.org/10.1108/15265940810853931.

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Yin, Yuxin, and Zejun Zhang. "Asian Options in a Market with High Volatility: Perspective and Evidence from Zoom and Peloton." BCP Business & Management 26 (September 19, 2022): 788–93. http://dx.doi.org/10.54691/bcpbm.v26i.2039.

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Contemporarily, uncertainties strongly affect the stock market, especially for the options market that fluctuates dramatically. On this basis, Asian options have become a favorable option for investors due to their low-risk characteristic. In this paper, two recently highly volatile assets, Zoom (ZM) and Peloton (PTON), were selected as investigation targets underlying Asian options. Specifically, both the Black-Scholes method and Monte-Carlo method were applied to price the Asian options for ZM and PTON. Based on calculations with the Black-Scholes formula and simulation with the Monte-Carlo

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Hruška, Juraj. "Delta-gamma-theta Hedging of Crude Oil Asian Options." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 63, no. 6 (2015): 1897–903. http://dx.doi.org/10.11118/actaun201563061897.

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Since Black-Scholes formula was derived, many methods have been suggested for vanilla as well as exotic options pricing. More of investing and hedging strategies have been developed based on these pricing models. Goal of this paper is to derive delta-gamma-theta hedging strategy for Asian options and compere its efficiency with gamma-delta-theta hedging combined with predictive model. Fixed strike Asian options are type of exotic options, whose special feature is that payoff is calculated from the difference of average market price and strike price for call options and vice versa for the put o

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TSUZUKI, YUKIHIRO. "NO-ARBITRAGE BOUNDS ON TWO ONE-TOUCH OPTIONS." International Journal of Theoretical and Applied Finance 18, no. 03 (2015): 1550021. http://dx.doi.org/10.1142/s0219024915500211.

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This paper investigates no arbitrage relationships between the prices of two one-touch options with the same maturity but with different barrier levels. We find the no-arbitrage range of prices for a no-touch option, given the price of a second no-touch option and the prices of co-maturing vanilla call options. The upper and lower bounds are the cost of a super-replicating portfolio and a sub-replicating portfolio respectively. These consist of call options, put options, digital options and a one-touch option. We assume that the underlying process is a continuous martingale but do not postulat

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CATALÃO, ANDRÉ, and ROGÉRIO ROSENFELD. "ANALYTICAL PATH-INTEGRAL PRICING OF DETERMINISTIC MOVING-BARRIER OPTIONS UNDER NON-GAUSSIAN DISTRIBUTIONS." International Journal of Theoretical and Applied Finance 23, no. 01 (2020): 2050005. http://dx.doi.org/10.1142/s0219024920500053.

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In this work, we present an analytical model, based on the path-integral formalism of statistical mechanics, for pricing options using first-passage time problems involving both fixed and deterministically moving absorbing barriers under possibly non-Gaussian distributions of the underlying object. We adapt to our problem a model originally proposed by De Simone et al. (2011) to describe the formation of galaxies in the universe, which uses cumulant expansions in terms of the Gaussian distribution, and we generalize it to take into account drift and cumulants of orders higher than three. From

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Carr, Peter. "First-order calculus and option pricing." Journal of Financial Engineering 01, no. 01 (2014): 1450009. http://dx.doi.org/10.1142/s2345768614500093.

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The modern theory of option pricing rests on Itô calculus, which is a second-order calculus based on the quadratic variation of a stochastic process. One can instead develop a first-order stochastic calculus, which is based on the running minimum of a stochastic process, rather than its quadratic variation. We focus here on the analog of geometric Brownian motion (GBM) in this alternative stochastic calculus. The resulting stochastic process is a positive continuous martingale whose laws are easy to calculate. We show that this analog behaves locally like a GBM whenever its running minimum dec

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Pironneau, Olivier. "Reduced basis for vanilla and basket options." Risk and Decision Analysis 2, no. 4 (2011): 185–94. http://dx.doi.org/10.3233/rda-2011-0045.

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Dissertations / Theses on the topic "Vanilla Options"

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Ryabchenko, Valeriy V. "Efficient optimization algorithms for pricing energy derivatives and standard vanilla options." [Gainesville, Fla.] : University of Florida, 2008. http://purl.fcla.edu/fcla/etd/UFE0022492.

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Mariapragassam, Matthieu. "Calibration to vanilla and barrier options with the Gyöngy and Brunick-Shreve Markovian projections." Thesis, University of Oxford, 2017. https://ora.ox.ac.uk/objects/uuid:8f2105b9-ee90-4280-9be9-ef88eddc73a5.

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In this thesis, we present a novel approach to the calibration of diffusion models to vanilla and barrier options with the Gyöngy and Brunick-Shreve Markovian projection results. Firstly, we derive a forward equation for arbitrage-free barrier option prices in continuous semi-martingale models, in terms of Markovian projections of the stochastic volatility process. This leads to a Dupire-type formula for the coefficient derived by Brunick and Shreve for their mimicking diffusion and can be interpreted as the canonical extension of local volatility for barrier options. Secondly, we treat the p

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Thiery, Stéphane. "Évaluation d'options "vanilles" et "digitales" dans le modèle de marché à intervalles." Phd thesis, Université de Nice Sophia-Antipolis, 2008. http://tel.archives-ouvertes.fr/tel-00460176.

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Au cours de cette thèse nous nous sommes intéressé à un jeu minimax différentiel et multi-étages à horizon fini (échéance), motivé par un problème d'évaluation d'options européennes. Le jeu différentiel est en dimension 3 plus temps. Il comporte une commande à la fois continue et impulsionnelle et une commande bornée, ainsi qu'un coût terminal discontinu dans le cas d'une option "digitale" dont l'étude constitue le coeur de la thèse. Ce jeu résulte d'une approche par commande robuste sur l'ensemble des trajectoires de prix permises par l'hypothèse du modèle de marché à intervalles pour le cour

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余昭慶. "Exotic Option Productions - A Comparative Analysis Asian Currency Option and Vanilla Currency Option." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/92748057930478369991.

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碩士<br>中原大學<br>企業管理學系<br>85<br>Traditional options have been traded for hundreds of years and are fairly well understood. Whether they apply to European or American performing method, they are a called "vanilla" options. In contrast, exotic options such as asian option, chooser, compound, barrier, binary, lookabck, and two color rainbow option are much newer innovations. While a vanilla option''s return depends on the price of the underlying asset, the payoff of an exotic option typically depends on some function of the price of underlying asset, or on a relationship between several underlying

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Lu, Shu-Ching, and 陸淑菁. "A General Framework for Valuing Loan Guarantees：Plain Vanilla Option Structure vs. Barrier Option Structure." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/67847758231449883988.

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碩士<br>國立中央大學<br>財務金融研究所<br>91<br>This study proposes a general framework in which the value of loan guarantee and the cost of loan guarantee are analyzed under a multiple-guarantor and multiple-borrower framework. We carry out Monte Carlo simulation approach to investigate how the critical parameters of guarantors and borrowers affect the values of loan guarantees, the costs of loan guarantees providing by guarantors and the default probability in two cases. One is the frame of examining the financial state at the end of guarantee period (plain vanilla option structure), and the other is consi

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Silva, Gilson Inácio Duarte Soares. "Comparação de métodos numéricos para avaliação de opções exóticas sobre um activo subjacente." Master's thesis, 2011. http://hdl.handle.net/1822/25869.

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Dissertação de mestrado em Matemática Económica e Financeira<br>A avaliação de derivados financeiros tem sido uma das áreas mais estudadas no campo das Finanças. Alguns derivados financeiros, nomeadamente opções, não têm uma solução exacta para determinar o seu valor (Hull & White, 1988; Vecer, 2001). Nestes casos, é necessário recorrer a métodos numéricos para efectuar a sua avaliação. Neste sentido, este trabalho propõe-se a estudar e comparar três métodos numéricos utilizados na metodologia de avaliação de opções vanilla e opções asiáticas: Modelo Binomial, Método das Diferenças Finit

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Books on the topic "Vanilla Options"

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Vanilla Options. McGraw-Hill, 2010.

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Investmentstrategien mit Plain Vanilla Options. GRIN Verlag GmbH, 2007.

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Dynamic hedging: Managing vanilla and exotic options. Wiley, 1997.

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Taleb, Nassim. Dynamic Hedging: Managing Vanilla and Exotic Options. Wiley & Sons, Incorporated, John, 2007.

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Tunaru, Radu S. Real-Estate Derivative Instruments. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780198742920.003.0005.

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This chapter is dedicated to the innovation of real-estate derivatives, with a focus on vanilla products such as forwards/futures, total return swaps, and European call and put options. A description is given of the mechanics behind these instruments and their range of applications. The examples provided here highlight changes in market quotation agreements and standard market practices related to valuation of vanilla real-estate derivatives such as forwards, futures, and total return swaps. In addition, MacroShares, PICs, PIFs, and PINs are discussed.

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Book chapters on the topic "Vanilla Options"

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Bernhard, Pierre, Jacob C. Engwerda, Berend Roorda, et al. "Vanilla Options." In The Interval Market Model in Mathematical Finance. Springer New York, 2012. http://dx.doi.org/10.1007/978-0-8176-8388-7_8.

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Sutherland, Andrew, and Jason Court. "Vanilla Options." In The Front Office Manual. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137030696_11.

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Deutsch, Hans-Peter, and Mark W. Beinker. "Plain Vanilla Options." In Derivatives and Internal Models. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-22899-6_18.

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Deutsch, Hans-Peter. "Plain Vanilla Options." In Derivatives and Internal Models. Palgrave Macmillan UK, 2004. http://dx.doi.org/10.1057/9781403946089_18.

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Sutherland, Andrew, and Jason Court. "More Vanilla Options." In The Front Office Manual. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137030696_12.

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Deutsch, Hans-Peter. "Plain Vanilla Options." In Derivatives and Internal Models. Palgrave Macmillan UK, 2002. http://dx.doi.org/10.1057/9780230502109_18.

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Deutsch, Hans-Peter. "Plain Vanilla Options." In Derivatives and Internal Models. Palgrave Macmillan UK, 2009. http://dx.doi.org/10.1057/9780230234758_17.

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Bouzoubaa, Mohamed. "Pricing Vanilla Options." In Equity Derivatives Explained. Palgrave Macmillan UK, 2014. http://dx.doi.org/10.1057/9781137335548_4.

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Buff, Robert. "Algorithms for Vanilla Options." In Springer Finance. Springer Berlin Heidelberg, 2002. http://dx.doi.org/10.1007/978-3-642-56323-2_6.

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Sutherland, Andrew, and Jason Court. "Vanilla Interest Rate Options." In The Front Office Manual. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137030696_13.

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Conference papers on the topic "Vanilla Options"

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Ganikhodjaev, Nasir, and Kamola Bayram. "Random trinomial tree models and vanilla options." In INTERNATIONAL CONFERENCE ON MATHEMATICAL SCIENCES AND STATISTICS 2013 (ICMSS2013): Proceedings of the International Conference on Mathematical Sciences and Statistics 2013. AIP, 2013. http://dx.doi.org/10.1063/1.4823907.

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Орехов, Ф. К., and О. В. Градов. "ON THE QUESTION OF THE APPLICABILITY OF AEROSOL SPECTROMETER FOR MONITORING THE EFFICIENCY OF AUTOMATIC ARTIFICIAL POLLINATION IN AGRICULTURAL BIOTECHNOLOGY, AS WELL AS FOR THE ANALYSIS OF SPORE CONTAMINATION IN PLANT QUARANTINE." In Биотехнология в растениеводстве, животноводстве и сельскохозяйственной микробиологии. Crossref, 2022. http://dx.doi.org/10.48397/arriab.2022.22.xxii.084.

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Общеизвестно и очевидно, что ручное и механическое опыление растений (hand pollination / mechanical pollination, в том числе - автоматические варианты, известные по западной литературе под названием "materially engineered artificial pollinators" [1]) могут в целом ряде случаев является безальтернативным и максимально доступным способом индустриального поддержания некоторых культур (от тыквы до ванили или финиковых пальм). It is well known and obvious that manual and mechanical pollination of plants (hand pollination / mechanical pollination, including automatic options, known in Western litera

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"The Real Estate Lease: From Plain Vanilla Swap to Exotic Option." In 4th European Real Estate Society Conference: ERES Conference 1997. ERES, 1997. http://dx.doi.org/10.15396/eres1997_195.

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Reports on the topic "Vanilla Options"

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Rojas-Bernal, Alejandro, and Mauricio Villamizar-Villegas. Pricing the exotic: Path-dependent American options with stochastic barriers. Banco de la República de Colombia, 2021. http://dx.doi.org/10.32468/be.1156.

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We develop a novel pricing strategy that approximates the value of an American option with exotic features through a portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust in pricing plain vanilla American options; (ii) the model matches observed bids and premiums of multidimensional options that integrate Ratchet, Asian, and Barrier characteristics; and (iii) our closed-form approximation allows for an analytical solution of the option’s greeks, which characterize the sensitivity to various risk factors. Finally, we highl

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