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Calibration of European option pricing model using a hybrid structure based on the optimized artificial neural network and Black-Scholes model [PDF]
Mathematics and Modeling in FinanceThis study suggests a novel approach for calibrating European option pricing model by a hybrid model based on the optimized artificial neural network and Black-Scholes model.
Farshid Mehrdoust, Maryam Noorani
doaj +1 more source
Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model [PDF]
, 2000 Michael J. Stutzer
openalex +1 more source
Pricing VXX Options With Observable Volatility Dynamics From High‐Frequency VIX Index
Journal of Futures Markets, Volume 45, Issue 7, Page 771-801, July 2025.ABSTRACT This paper develops a discrete‐time joint analytical framework for pricing volatility index (VIX) and VXX options consistently. We show that our framework is more flexible than continuous‐time VXX models as it allows the information contained in the high‐frequency VIX index to be incorporated for the joint pricing of VIX and VXX options, and ...
Shan Lu
wiley +1 more source
Almost sure and moment stability properties of fractional order Black-Scholes model
, 2013 We deal with the stability problem of the fractional order Black-Scholes model driven by fractional Brownian motion (fBm). First, necessary and sufficient conditions are established for almost sure asymptotic stability and pth moment asymptotic stability
Caibin Zeng, YangQuan Chen, Qigui Yang
semanticscholar +1 more source
Patterns and Drivers of Phylogenetic Beta Diversity in the Forests and Savannas of Africa
Journal of Biogeography, Volume 52, Issue 7, July 2025.ABSTRACT Aim Studying beta diversity, or the variation in species composition among communities, can give insights into plant community assembly over space and time. If different biomes show contrasting large‐scale beta‐diversity patterns, this can indicate divergent evolutionary histories or ecological processes that then drive species turnover among ...
Mathew Rees +5 more
wiley +1 more source
Convergence Numerically of Trinomial Modelin European Option Pricing
International Research Journal of Business Studies, 2014 A European option is a financial contract which gives its holder a right (but not an obligation) to buy or sell an underlying asset from writer at the time of expiry for a pre-determined price.
Entit Puspita +2 more
doaj
Journal of Futures Markets, Volume 45, Issue 6, Page 612-636, June 2025.ABSTRACT In this paper, we investigate alternative one‐factor and two‐factor continuous‐time models with both affine and non‐affine variance dynamics for the Chinese options market. Through extensive empirical analysis of the option panel fit and diagnostics, we find that it is necessary to include both the non‐affine feature and the multi‐factor ...
Yifan Ye, Zheqi Fan, Xinfeng Ruan
wiley +1 more source
Weighted BMO and discrete time hedging within the Black-Scholes model [PDF]
, 2004 Stefan Geiß
openalex +1 more source
European Journal of Education, Volume 60, Issue 2, June 2025.ABSTRACT Artificial intelligence (AI) tools have the potential to revolutionise educational practices, but their use raises ethical and organisational concerns for higher education institutions (HEIs). We investigated Italian students' perception and usage of AI tools at the University of Udine using questionnaires (N = 531) with fixed and open‐ended ...
Manuela Farinosi, Claudio Melchior
wiley +1 more source
Sapflow Database Reveals Density‐Dependent Competition Among Woody Plants at Global Scale
Ecology Letters, Volume 28, Issue 6, June 2025.Though limiting resources differ among systems, water is limiting in most arid and many mesic systems, potentially allowing for direct measurement of competition by measurement of water uptake. Here, we examine a global database of sapflow measurements, the SapFluxNet database, for signs of density‐dependent competition for water.
Trevor Roberts, Niall P. Hanan
wiley +1 more source