Results 121 to 130 of about 23,860,994 (221)

Determining the implied volatility in the Dupire equation for vanilla European call options

, 2013
The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining the implied volatility, which is a function of the underlying asset, from a collection of
Bellassoued, Mourad, Brummelhuis, Raymond, Cristofol, Michel, Soccorsi, Eric   +3 more
core   +2 more sources

Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English) [PDF]

The paper focuses on the replication of digital options under an incomplete model. Digital options are regularly applied in the hedging and static decomposition of many path-dependent options.
Tomáš Tichý
core  

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  

The Continuous Limit of GARCH Processess [PDF]

Contrary to popular belief, the diffusion limit of a GARCH variance process is not a diffusion model unless one makes a very specific assumption that cannot be generalized.
Carol Alexandra, Emese Lazar
core  

Random Neural Networks for Rough Volatility. [PDF]

Appl Math Optim
Jacquier A, Žurič Ž.
europepmc   +1 more source

Exploring Excited State Proton Transfer Dynamics upon Ultraviolet Excitation. [PDF]

J Phys Chem A
Kaul N, Benny A, Petropoulos V, Maj M, Cerullo G, Maiuri M, Scholes GD.   +6 more
europepmc   +1 more source

RABEM: risk-adaptive Bayesian ensemble model for fraud detection. [PDF]

Sci Rep
Almarshad FA, Zakariah M, Gashgari GA, Vaiyapuri T.   +3 more
europepmc   +1 more source

Pricing callable bonds and optimal callable time under the Fractional Black-Scholes market

Electronic Journal of Differential Equations
This article concerns the pricing of callable bonds and the determination of optimal call time under the fractional Black-Scholes model. By employing a discrete approximation of the continuous asset price process, we efficiently estimate the continuation
Yuecai Han, Yinong Wu, Xudong Zheng
doaj  

Photoenzymatic Csp³-Csp³ bond formation via enzyme-templated radical-radical coupling. [PDF]

Proc Natl Acad Sci U S A
Liu Y, Oblinsky DG, Dell'Orletta G, Di Fonte N, Sorigue D, Page CG, Daidone I, Scholes GD, Hyster TK.   +8 more
europepmc   +1 more source

Leveraging Multiproton-Coupled Electron Transfer to Improve Ir(III) Photocatalyst Efficiency. [PDF]

J Phys Chem C Nanomater Interfaces
Villalona E, Domínguez RE, Gonzalez Lopez EJ, Guerra WD, Heredia DA, Khmelnitskiy AY, Oblinsky DG, Palacios Y, Moore TA, Scholes GD, Knowles RR, Moore AL.   +11 more
europepmc   +1 more source