Results 61 to 70 of about 1,391,296 (199)

GARCH option pricing under skew. [PDF]

This article is an empirical study dedicated to the GARCH Option pricing model of Duan (1995) applied to the FTSE 100 European style options for various maturities.
Aboura, Sofiane
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New Evidence on Price and Volatility Effects of Stock Option Introductions [PDF]

This paper adds to the literature dealing with the effect of derivatives trading on underlying securities by examining option listings from the Netherlands.
Kabir, M.R.
core   +1 more source

Comparison of System Call Representations for Intrusion Detection

, 2019
Over the years, artificial neural networks have been applied successfully in many areas including IT security. Yet, neural networks can only process continuous input data.
A Sharma, AP Kosoresow, E Eskin, FA Gers, G Creech, H He, J McHugh, N Srivastava, S Hochreiter, SA Hofmeyr   +9 more
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Designing a Pricing Bid Index Model Using Binomial Model [PDF]

تحقیقات مالی اسلامی (پیوسته), 2018
In recent years, Islamic finance instruments have remarkably developed in Iran’s capital market. One of the most common developed instruments in this area is salaf sukuk.
Mohammad Javad Pakiniyat, Meysam Fadaei Vahed   +1 more
doaj  

The predictive power of dollar-real call optionsimplied volatility

Economia Aplicada, 2002
Previous empirical researches pointed out the relation between stress events in financial markets and implied volatility in option prices, indicating that large movements in asset prices would be preceded by significant increases in implied volatility ...
Daniel Augusto Motta
doaj  

An efficient binomial approach to the pricing of options on stocks with cash dividends [PDF]

In this contribution, we consider options written on stocks which pay cash dividends. Dividend payments have an effect on the value of options: high dividends imply lower call premia and higher put premia.
Martina Nardon, Paolo Pianca
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Artificial Neural Network model for Call Options Pricing Using Market Data

International Journal of Computer Engineering and Data Science
Accurate option pricing is of key importance for markets and traders. This work explores the feasibility of using artificial neural network model in call option pricing, using the traditional Black-Scholes model as a benchmark.
Georgios Rigopoulos
doaj   +4 more sources

Option pricing in Heston model by means of weak approximations

Lietuvos Matematikos Rinkinys, 2013
We apply weak split-step approximations of the Heston model for evaluation of put and call option prices in this model.
Antanas Lenkšas, Vigirdas Mackevičius
doaj   +1 more source

Pricing of the European Options by Spectral Theory [PDF]

We discuss the efficiency of the spectral method for computing the value of the European Call Options, which is based upon the Fourier series expansion. We propose a simple approach for computing accurate estimates.
Dell'Era Mario, M.D.
core   +1 more source

The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach. [PDF]

This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July ...
Deville, Laurent, Riva, Fabrice
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