Applied Mathematics & Physics
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS



Applied Mathematics & Physics:
Year:
Volume:
Issue:
Page:
Find






Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register


Applied Mathematics & Physics, 2019, Volume 51, Issue 3, Pages 451–459
DOI: https://doi.org/10.18413/2075-4639-2019-51-3-451-459
(Mi pmf24)
 

MATHEMATICAL PHYSICS. MATHEMATICAL MODELING

Time decay comparison for option straddle in case of insufficient liquidity or transaction costs

M. M. Dyshaev, V. E. Fedorov

Челябинский государственный университет
Abstract: The article analyzes time decay for the option strategy «straddle». The simulation is carried out on the example of two models: the model of R.K. Sircar and G. Papanicolaou (1998) and the model of M. Jandacka and D.Sevcovic (2005). The first model takes into account the feedback effects of the operations of large traders, the second model takes into account the transaction costs. The results are presented in the form of graphs, showing the difference in prices of and time decay for the nonlinear models under study from the classical linear model of Black-Scholes, when using the strategy straddle.
Keywords: transaction costs, nonlinear Black, Scholes equations, option pricing, straddle.
Document Type: Article
UDC: 517.957, 336.76
Language: Russian
Linking options:
  • https://www.mathnet.ru/eng/pmf24
  • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Applied Mathematics & Physics
    Statistics & downloads:
    Abstract page:47
     
      Contact us:
     Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2025