Results 11 to 20 of about 2,133 (266)
Tail Risk Signal Detection through a Novel EGB2 Option Pricing Model
Mathematics, 2023 Connecting derivative pricing with tail risk management has become urgent for financial practice and academia. This paper proposes a novel option pricing model based on the exponential generalized beta of the second kind (EGB2) distribution.
Hang Lin, Lixin Liu, Zhengjun Zhang
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Economics and Business Review, 2018 Pricing of options plays an important role in the financial industry. Investors knowing how to price derivative contracts quickly and accurately can beat the market.
Orzechowski Arkadiusz
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Response to Johnson: A random sample versus the radical event
Finance and Society, 2016 Timothy Johnson's working hypothesis in his review of my latest book, The Medium of Contingency, is that I (as well as the ‘quants’ involved in the derivative pricing industry) do not understand the foundations of abstract probability theory.
Elie Ayache
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Distributed Least-Squares Monte Carlo for American Option Pricing
Risks, 2023 Option pricing is an important research field in financial markets, and the American option is a common financial derivative. Fast and accurate pricing solutions are critical to the stability and development of the market.
Lu Xiong +3 more
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Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method
Abstract and Applied Analysis, 2013 This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative.
Lina Song, Weiguo Wang
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Derivative Pricing using Quantum Signal Processing [PDF]
QuantumPricing financial derivatives on quantum computers typically includes quantum arithmetic components which contribute heavily to the quantum resources required by the corresponding circuits.
Nikitas Stamatopoulos, William J. Zeng
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Apreçamento de derivativos bidimensionais
Economia Aplicada, 2005 Neste artigo analisamos o apreçamento de contratos que tenham seus resultados atrelados a mais de um ativo subjacente, em especial, opções bidimensionais.
Hugo Daniel de Oliveira Azevedo +1 more
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Taylor expansion for derivative securities pricing as a precondition for strategic market decisions [PDF]
Problems and Perspectives in Management, 2018 The strategy of managing the pricing processes, in particular managing the dynamics of the price of the underlying asset and its volatility, the prices of indices, shares, options, the magnitude of financial flows, in the method of calculating the ...
Ivan Burtnyak, Anna Malytska
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Pricing Catastrophe Insurance Derivatives [PDF]
SSRN Electronic Journal, 2002 We investigate the valuation of catastrophe insurance derivatives that are traded at the Chicago Board of Trade. By modeling the underlying index as a compound Poisson process we give a representation of no-arbitrage price processes using Fourier analysis. This characterization enables us to derive the inverse Fourier transform of prices in closed form
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Will and power: Investment diversification and systemic deviation from irrational risk
Cogent Economics & Finance, 2022 Examining China’s stock market, mean variance is used to measure returns and risk and build an irrational risk-asset pricing model. The power of heterogeneous beliefs and risk-valuation deviation are found to affect capital asset pricing, presenting ...
Yaping Liu
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