Results 11 to 20 of about 2,199,003 (334)
Proceedings, 2020 Computing implied volatility from observed option prices is a frequent and challenging task in finance, even more in the presence of dividends. In this work, we employ a data-driven machine learning approach to determine the Black–Scholes implied ...
Shuaiqiang Liu +3 more
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American options in an imperfect complete market with default
ESAIM: Proceedings and Surveys, 2018 We study pricing and hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealth dynamics. The payoff is given by an RCLL adapted process (ξt).
Dumitrescu Roxana +2 more
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Option Pricing, Zero Lower Bound, and COVID-19
Risks, 2021 This paper provides a quantitative assessment of equity options priced at the Zero Lower Bound, i.e., when interest rates are set essentially to zero. We obtain closed form formulas for American options when the Zero Lower Bound policy holds.
Giacomo Morelli, Lea Petrella
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, 2020 This paper deals with pricing of European and American options, when the underlying asset price follows Heston model, via the interior penalty discontinuous Galerkin finite element method (dGFEM).
Karasözen, Bülent +2 more
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Supervised Machine Learning with Control Variates for American Option Pricing
Foundations of Computing and Decision Sciences, 2018 In this paper, we make use of a Bayesian (supervised learning) approach in pricing American options via Monte Carlo simulations. We first present Gaussian process regression (Kriging) approach for American options pricing and compare its performance in ...
Mu Gang +3 more
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Neural Network Pricing of American Put Options
Risks, 2020 In this study, we use Neural Networks (NNs) to price American put options. We propose two NN models—a simple one and a more complex one—and we discuss the performance of two NN models with the Least-Squares Monte Carlo (LSM) method.
Raquel M. Gaspar +2 more
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Projection and Contraction Method for Pricing American Bond Options
Mathematics, 2023 In this paper, an effective numerical method is proposed for a linear complementarity problem (LCP) arising in the valuation of American bond options under the Cox–Ingersoll–Ross (CIR) model.
Qi Zhang +4 more
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New Methods with Capped Options for Pricing American Options
Journal of Applied Mathematics, 2014 We propose two new methods: improved binomial methods and improved least square MonteCarlo methods (LSM), for pricing American options. These two methods are developed using the nice capped options which have closed-form formulas.
Dongya Deng, Cuiye Peng
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Pricing the exotic: Path-dependent American options with stochastic barriers
Latin American Journal of Central Banking, 2021 We develop a novel pricing strategy that approximates the value of an American option with exotic features through a portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust in pricing
Alejandro Rojas-Bernal +1 more
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American put options with regime-switching volatility [PDF]
Seonmul yeonguWe present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the ...
Bong-Gyu Jang, Hyeng Keun Koo
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