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q-fin.PR2013
On option pricing in illiquid markets with jumps
Youssef El-Khatib, Abdulnasser Hatemi-J
One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading of the underlying asset does not affect the price of that asset. This assump…
q-fin.PR2013
On the pricing and hedging of options for highly volatile periods
Youssef El-Khatib, Abdulnasser Hatemi-J
Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. This paper is an attempt…