Results 121 to 130 of about 5,587,958 (297)
Estimation of option’s volatility based on particle swarm optimization algorithm
四川大学学报. 自然科学版, 2017 Firstly, Black-Scholes option pricing formula is introduced, and the importance of volatility in option pricing is analyzed. Volatility is a critical parameter for option pricing, and option prices are very sensitive to volatility's fluctuation.
HE Guang, LONG Xian-Jun
doaj
Option implied beta and option return
, 2017 We study the information content of option-implied betas for future equity option returns, using data on the S&P 500 index options and all of the component stock options.
Ze-To, S.
core +4 more sources
Current Status and Challenges in Data Collection for Aerospace Coatings Deposited by Plasma Spraying
Advanced Engineering Materials, EarlyView.An innovative approach has been integrated into the GRENAT project to optimize plasma spraying and coating performance. Raw materials are accelerated and melted in the plasma generated by torches, creating coatings. Monitoring sensors collect process data which are combined with ex situ characterization data.
Lila Randriamananjara +8 more
wiley +1 more source
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
core +2 more sources
Advanced Engineering Materials, EarlyView.Reproduction of stacking fault energy calculations from literature with a semi‐automated large language model‐assisted extraction procedure: extraction of simulation protocol, atomistic structures, computational parameters, and reported results, ontology alignment, knowledge graph construction and, finally, recomputation forvalidation.
Sepideh Baghaee Ravari +5 more
wiley +1 more source
Determining the implied volatility in the Dupire equation for vanilla European call options
, 2013 The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining the implied volatility, which is a function of the underlying asset, from a collection of quoted option prices with different strikes.
Bellassoued, Mourad +3 more
openaire +2 more sources
Symmetry‐Guided Multifunctional Acoustic System Based on Mechanically Actuated Sonic Crystals
Advanced Engineering Materials, EarlyView.This study presents the design, simulation, and experimental validation of amultifunctional acoustic metamaterial based on rotationally engineered sonic crystals.By tuning cylinder orientations, controllable band gaps and six distinct functionalities—including switching, topological insulation, beam splitting, and logic operations—areachieved ...
Yuanyan Zhao +2 more
wiley +1 more source
Pricing Derivatives on Two Lé}vy-driven Stocks [PDF]
The aim of this work is to study the pricing problem for derivatives depending on two stocks driven by a bidimensional Lévy process. The main idea is to apply Girsanov's Theorem for Lévy processes, in order to reduce the posed problem to the pricing of a
Ernesto Mordecki, José Fajardo
core
Advanced Engineering Materials, EarlyView.Digitalizing electroplating requires both domain knowledge and interoperability. This work introduces PlatOn, a domain ontology for trivalent chromium plating and coating characterization, and a hybrid pipeline that aligns it to a mid‐level reference ontology by combining eight similarity metrics with language model reasoning. Expert‐validated mappings
Janik Harter +10 more
wiley +1 more source
Effects of market sentiment in index option pricing: a study of CNX NIFTY index option [PDF]
This paper provides evidence of the role of sentiments in pricing Indian CNX Nifty index call Option during the period from April 2002 to December 2008. It also shows that Black-Scholes option pricing model using the implied volatility of previous day is
Nagarajan, Thirukumaran +1 more
core