Application of Microlocal Analysis to an Inverse Problem Arising from Financial Markets [PDF]
, 2014 One of the most interesting problems discerned when applying the Black--Scholes model to financial derivatives, is reconciling the deviation between expected and observed values.
Doi, Shin-ichi, Ota, Yasushi
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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
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A closed-form GARCH option pricing model [PDF]
This paper develops a closed-form option pricing formula for a spot asset whose variance follows a GARCH process. The model allows for correlation between returns of the spot asset and variance and also admits multiple lags in the dynamics of the GARCH ...
Saikat Nandi, Steven L. Heston
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The Pricing of Derivatives on Assets with Quadratic Volatility [PDF]
The basic model of financial economics is the Samuelson model of geometric Brownian motion because of the celebrated Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the model garantees
Christian Zühlsdorff
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Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model [PDF]
The interest of professional investors in financial derivatives on the Croatian market is steadily increasing and trading is expected to start after the establishment of the legal framework.
Petra Posedel
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Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market [PDF]
This paper investigates the pricing bias in the Swedish OMX-Index Option market and how a stochastic volatility affects European call option prices. The market is purely European and without dividends for the period studied. A CIR square-root process for
Byström , Hans
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Option pricing: The empirical tests of the black-scholes pricing formula and the feed-forward network [PDF]
, 2009 In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till ...
Vlasáková Baruníková, Michaela
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Implied volatility of basket options at extreme strikes
, 2014 In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality.
A d’Aspremont +29 more
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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
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Penentuan Nilai Opsi Call Eropa Dengan Pembayaran Dividen
Sainsmat, 2016 Fluktuasi harga saham menyebabkan perdagangan saham memiliki resiko. Opsi merupakan alternatif untuk mengurangi resiko dalam perdagangan saham. Opsi Eropa adalah suatu kontrak keuangan yang memberikan hak, bukan kewajiban, kepada holder, untuk membeli ...
Diana Purwandari
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