Results 11 to 20 of about 13,222,209 (296)
Tau method for pricing American options under complex models [PDF]
Mathematics and Modeling in Finance, 2021 The European option can be exercised only at the expiration date while an American option can be exercised on or at any time before the expiration date.
Samaneh Bani Asadi, Azim Rivaz
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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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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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Pricing methods for American options [PDF]
, 2003 Bibliography: leaves 89-94.This thesis is about the comparison of Pricing models for the valuation of American Options. Three classes of numerical approaches are considered.
Duvel, Heimo
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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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SSRN Electronic Journal, 2016 One of the most important things that rules the world, is the economy. And the science that explains better the economy, is maths. When I was a child, I wanted to become an economist. So I decided to study maths because the background of the economy is maths, and knowing maths, you can understand the economy.
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High dimensional American options [PDF]
, 2005 Pricing single asset American options is a hard problem in mathematical finance. There are no closed form solutions available (apart from in the case of the perpetual option), so many approximations and numerical techniques have been developed.
Firth, Neil Powell
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