Results 11 to 20 of about 5,889 (311)
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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Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing [PDF]
, 2008 In this paper, in the context of an Ornstein-Uhlenbeck temperature process, we use neural networks to examine the time dependence of the speed of the mean reversion parameter α of the process.
A. Alexandridis +3 more
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PRICING DERIVATIVES IN HERMITE MARKETS [PDF]
International Journal of Theoretical and Applied Finance, 2019 We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion (FBM) and fractional Rosenblatt markets. Considering pure and mixed Hermite markets, we introduce a strategy-specific arbitrage tax on the rate of transaction volume acceleration of the hedging portfolio as the prices of risky assets change,
STOYAN V. STOYANOV +3 more
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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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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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Credit derivatives and loan pricing [PDF]
Journal of Banking & Finance, 2007 This paper examines the relationship between the new markets for credit default swaps (CDS) and the pricing of syndicated loans to U.S. corporates. We find that changes in CDS spreads have a significantly positive coefficient and explain about 25% of subsequent monthly changes in aggregate loan spreads during 2000-2005.
Norden, Lars, Weber, Martin
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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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Duality in option pricing based on prices of other derivatives [PDF]
Operations Research Letters, 2007 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Michi Nishihara +2 more
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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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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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