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OPTION PRICING MODEL FOR EVENT DRIVEN CALL AND PUT OPTIONS

机译:事件驱动的看涨期权和看跌期权的期权定价模型

摘要

Systems and methods are provided for valuing event driven option contracts. A jump diffusion based model, such as a Merton jump diffusion based model, is modified to assume arithmetic movement of an underlying price and a single jump. The arithmetic movement of the underlying price may be modeled with a Bachelier based arithmetic model. Calculated values may be used to determine margin account requirements.
机译:提供了用于评估事件驱动的期权合约的系统和方法。对基于跳跃扩散的模型(例如基于Merton跳跃扩散的模型)进行了修改,以假设基础价格和一次跳跃的算术运动。基础价格的算术运动可以用基于巴切里尔的算术模型来建模。计算值可用于确定保证金账户要求。

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