Comparing Semi-Parametric Model Learning Algorithms for Dynamic Model Estimation in Robotics [PDF]
arXiv, 2019 Physical modeling of robotic system behavior is the foundation for controlling many robotic mechanisms to a satisfactory degree. Mechanisms are also typically designed in a way that good model accuracy can be achieved with relatively simple models and model identification strategies.
arxiv
Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management [PDF]
Many derivatives prices and their Greeks are closed-form expressions in the Black-Scholes model; when the terminal distribution is a mixed lognormal, prices and Greeks for these derivatives are then a weighted average of these closed-form) expressions ...
Dietmar Leisen
core
On CAPM and Black-Scholes, differing risk-return strategies [PDF]
In their path-finding 1973 paper Black and Scholes presented two separate derivations of their famous option pricing partial differential equation (pde).
Gunaratne, Gemunu H. +1 more
core +1 more source
Understanding Black-Scholes Option Pricing Model [PDF]
, 2007 Eun‐Kyung Lee, Yoon-Dong Lee
openalex +1 more source
The Pricing and Hedging of an Attainable Claim in a Hybrid Black–Scholes Model under Regime Switching [PDF]
, 2021 Kuanhou Tian, Yanfang Li, Guixin Hu
openalex +1 more source
Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models [PDF]
, 2011 Shu Ho, Alan Lee, Alastair Marsden
openalex +1 more source
Formulating black Scholes equation using a jump diffusion Heston’s model [PDF]
, 2022 Oduor D Brian
openalex +1 more source
Derivation of black Scholes equation using Heston’s model with dividend yielding asset [PDF]
, 2022 Oduor D Brian
openalex +1 more source
A weighted finite difference method for subdiffusive Black Scholes Model [PDF]
Computers and Mathematics with Applications, 2019 G. Krzyzanowski +2 more
semanticscholar +1 more source
Parametric Pricing of Higher Order Moments in S&P500 Options. [PDF]
A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as well as time-varying volatility are priced.
G.C. Lim, G.M. Martin, V.L. Martin
core