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The Adjoint Method Formulation for an Inverse Problem in the Generalized Black-Scholes Model [PDF]
Journal of Systemics, Cybernetics and Informatics, 2006 A general framework is developed to treat optimal control problems for a generalized Black-Scholes model, which is used for option pricing. The volatility function is retrieved from a set of market observations.
PIERRE NGNEPIEBA
doaj
Options Prices in Incomplete Markets*
ESAIM: Proceedings and Surveys, 2017 In this paper we consider the valuation of an option with time to expiration T and pay-off function g which is a convex function (as is a European call option), and constant interest rate r = 0, for a variety of underlying price process models ...
Jacod Jean, Protter Philip
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Bivariate Normal Mixture Spread Option Valuation [PDF]
This paper explores the properties of a European spread option valuation method for correlated assets when the marginal distribution each asset return is assumed to be a mixture of normal distributions.
Carol Alexandra, Andrew Scourse
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Arthritis Care &Research, EarlyView.Objective Although the definition of a gout flare is well established, the state of gout flare resolution has not yet been defined. This study aimed to explore patients’ experiences and perceptions of gout flare resolution. Methods Semistructured interviews were conducted with 24 people with gout, guided by open‐ended questions exploring their ...
Sarah Stewart +5 more
wiley +1 more source
Pricing and Applications of Digital Installment Options
Journal of Applied Mathematics, 2012 For its theoretical interest and strong impact on financial markets, option valuation is considered one of the cornerstones of contemporary mathematical finance.
Pierangelo Ciurlia, Andrea Gheno
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Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar. [PDF]
This research paper presents statistical comparisons between two methods that are commonly used to estimate option implied Risk-Neutral Densities (RND). These are: 1) mixture of lognormals (MXL); and, 2) volatility function technique (VFT). The former is
Israel Felipe Mora Cuevas +1 more
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Advanced Engineering Materials, EarlyView.Predicting extreme defects in additive manufacturing remains a key challenge limiting its structural reliability. This study proposes a statistical framework that integrates Extreme Value Theory with advanced process indicators to explore defect–process relationships and improve the estimation of critical defect sizes. The approach provides a basis for
Muhammad Muteeb Butt +8 more
wiley +1 more source
Discrete Dynamics in Nature and Society, 2016 We investigate the accurate computations for the Greeks using the numerical solutions of the Black-Scholes partial differential equation. In particular, we study the behaviors of the Greeks close to the maturity time and in the neighborhood around the ...
Darae Jeong, Minhyun Yoo, Junseok Kim
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Pricing of A European Call Option in Stochastic Volatility Models
Mathematics and Statistics, 2022 Said Taoufiki, Driss Gretete
openaire +1 more source
Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions [PDF]
This paper presents a numerical method for pricing American call options where the underlying asset price follows a jump-diffusion process. The method is based on the Fourier-Hermite series expansions of Chiarella, El-Hassan & Kucera (1999), which we ...
Andrew Ziogas, Carl Chiarella
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