Results 1 to 10 of about 371,274 (120)
Results in Applied Mathematics, 2022 The Black–Scholes differential operator which underlies the option pricing of European and American options is known to be degenerate close to the boundary at zero.
David Sena Attipoe, Antoine Tambue
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About the valuation of American option under Black-Scholes model : a numerical study
Moroccan Journal of Pure and Applied Analysis, 2023 In the history of option pricing, Black-Scholes model is one of the most significant models. In this paper, we present a new numerical strategy for valuing American option pricing problems governed by Black-Scholes model (BSM). Numerical computations are
Malek R.
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A Partition of unity finite element method for valuation American option under Black-Scholes model
Moroccan Journal of Pure and Applied Analysis, 2021 In this paper, we present an intelligent combination of partition of unity (PU) and finite element (FE) methods for valuing American option pricing problems governed by the Black-Scholes (BS) model.
El kharrazi Zaineb +3 more
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Pricing American Put Option using RBF-NN: New Simulation of Black-Scholes
Moroccan Journal of Pure and Applied Analysis, 2022 The present work proposes an Artificial Neural Network framework for calculating the price and delta hedging of American put option. We consider a sequence of Radial Basis function Neural Network, where each network learns the difference of the price ...
Zaineb El Kharrazi +2 more
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New developments in econophysics: Option pricing formulas
Frontiers in Physics, 2022 We synthesize and discuss some new developments in econophysics. In doing so, we focus on option pricing. We relax the assumptions of constant volatility and interest rate. In doing so, we rely on the square root of the Brownian motion.
Moawia Alghalith
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A Quasi-Closed-Form Solution for the Valuation of American Put Options
International Journal of Financial Studies, 2020 This study develops a quasi-closed-form solution for the valuation of an American put option and the critical price of the underlying asset. This is an important area of research both because of a large number of transactions for American put options on ...
Cristina Viegas, José Azevedo-Pereira
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Charter Schools: An Alternative Option in American Schooling
Encyclopedia, 2023 Charter schools are educational institutions in the United States funded through taxation but operated privately under a charter or contract with a public entity, providing alternative public education options to families.
Tong Tong +3 more
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Distributed Least-Squares Monte Carlo for American Option Pricing
Risks, 2023 Option pricing is an important research field in financial markets, and the American option is a common financial derivative. Fast and accurate pricing solutions are critical to the stability and development of the market.
Lu Xiong +3 more
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An American option contract toward supply chain coordination [PDF]
Decision Science Letters, 2018 Coordination improves the profit of all the members in a supply chain. In this paper, a novel coordination mechanism is introduced in a retailer-manufacturer supply chain in which the retailer can adopt either an American option mechanism or a wholesale ...
Masoud Rabbani +3 more
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A Note on Simulation Pricing of π-Options
Risks, 2020 In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman in 1997 to price a π-option. This method is based on the simulated price tree that comes from discretization and replication of possible trajectories of the underlying ...
Zbigniew Palmowski, Tomasz Serafin
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