IDEAS home Printed from https://ideas.repec.org/a/ibn/jmrjnl/v15y2024i3p64.html
   My bibliography  Save this article

European Barrier Range Accrual Option Pricing Formula Deduction and the Corresponding American Range Option Numerical Value Simulation

Author

Listed:
  • Yang Zhenhao
  • DAI Wei

Abstract

European Range Accrual Option pricing and deviation Formula has been deduced through observing the foundational asset probabilistic distribution characteristics with the help of Ito’s lemma, and through relaxing the boundary assumption to infinity and zero respectively, the classical Black-Scholes option formula has been worked out. This paper subsequently articulates the numerical value simulated computation algorithm using logic program language for the corresponding demonstration. From a statistical point of view, the American range option is not definitely more valuable than the corresponding European range option and the difference between their deviations is significant.

Suggested Citation

  • Yang Zhenhao & DAI Wei, 2024. "European Barrier Range Accrual Option Pricing Formula Deduction and the Corresponding American Range Option Numerical Value Simulation," Journal of Mathematics Research, Canadian Center of Science and Education, vol. 15(3), pages 1-64, December.
  • Handle: RePEc:ibn:jmrjnl:v:15:y:2024:i:3:p:64
    as

    Download full text from publisher

    File URL: https://ccsenet.org/journal/index.php/jmr/article/download/0/0/48936/52753
    Download Restriction: no

    File URL: https://ccsenet.org/journal/index.php/jmr/article/view/0/48936
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibn:jmrjnl:v:15:y:2024:i:3:p:64. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Canadian Center of Science and Education (email available below). General contact details of provider: https://edirc.repec.org/data/cepflch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.