Results 231 to 240 of about 507,473 (299)

A general closed form option pricing formula

SSRN Electronic Journal, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
C. Necula, Gabriel G. Drimus, W. Farkas
semanticscholar   +2 more sources

Pricing the American options: A closed-form, simple formula

Physica A: Statistical Mechanics and its Applications, 2019
We overcome a major obstacle in the literature. In doing, we introduce a simple, closed-form formula for pricing the American options. In particular, we significantly simplify Alghalith’s closed-form formula for pricing American options.
Moawia Alghalith
semanticscholar   +2 more sources

A Closed Form Formula for Valuing Mortgages

The Journal of Real Estate Finance and Economics, 1999
We develop a closed form formula for the value of a fixed-rate residential mortgage that includes the provision that the borrower can prepay at any time with no penalty. The value of the mortgage equals the expectation, under the risk neutral probability measure, of the future cash flows.
Pierre Collin-Dufresne, John P. Harding
semanticscholar   +2 more sources

A closed-form formula for GPS GDOP computation

GPS Solutions, 2009
Geometric dilution of precision (GDOP) is often used for selecting good satellites to meet the desired positioning precision. An efficient closed-form formula for GDOP has been developed when exactly four satellites are used. It has been proved that increasing the number of satellites for positioning will always reduce the GDOP.
S. Doong
semanticscholar   +2 more sources

Pricing options under simultaneous stochastic volatility and jumps: A simple closed-form formula without numerical/computational methods

Physica A: Statistical Mechanics and its Applications, 2020
We overcome the limitations of the previous literature in the European options pricing. In doing so, we provide a closed-form formula that does not require any numerical/computational methods.
Moawia Alghalith
semanticscholar   +1 more source

A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY

Probability in the engineering and informational sciences (Print), 2021
This article derives a closed-form pricing formula for the European exchange option in a stochastic volatility framework. Firstly, with the Feynman–Kac theorem's application, we obtain a relation between the price of the European exchange option and a ...
P. Pasricha, A. Goel
semanticscholar   +1 more source

A closed-form formula for magnetic dipole localization by measurement of its magnetic field vector and magnetic gradient tensor

, 2020
This paper presents a simple formula for localization of a magnetic dipole. Firstly, the analytical formula of position vector is directly derived from the analytical expressions of magnetic field vector and magnetic gradient tensor of magnetic dipole ...
Gang Yin   +4 more
semanticscholar   +1 more source

Home - About - Disclaimer - Privacy