Results 1 to 10 of about 294,064 (117)
Pricing Interval European Option with the Principle of Maximum Entropy [PDF]
Entropy, 2019 This paper develops the interval maximum entropy model for the interval European option valuation by estimating an underlying asset distribution. The refined solution for the model is obtained by the Lagrange multiplier.
Xiao Liu +3 more
doaj +4 more sources
European Option Based on Least-Squares Method under Non-Extensive Statistical Mechanics [PDF]
Entropy, 2019 This paper is devoted to the study of the pricing of European options under a non-Gaussian model. This model follows a non-extensive statistical mechanics which can better describe the fractal characteristics of price movement in the financial market ...
Limin Liu, Yingying Cui
doaj +2 more sources
Results in Applied Mathematics, 2022 The Black–Scholes differential operator which underlies the option pricing of European and American options is known to be degenerate close to the boundary at zero.
David Sena Attipoe, Antoine Tambue
doaj +1 more source
On regime-switching European option pricing
Cogent Economics & Finance, 2023 The concern of this article is to derive a regime switching model that can be utilized to price European call options for a financial market that exhibits structural changes with time.
Sebastian Kaweto Kalovwe +2 more
doaj +1 more source
New developments in econophysics: Option pricing formulas
Frontiers in Physics, 2022 We synthesize and discuss some new developments in econophysics. In doing so, we focus on option pricing. We relax the assumptions of constant volatility and interest rate. In doing so, we rely on the square root of the Brownian motion.
Moawia Alghalith
doaj +1 more source
European Option Pricing under Wishart Processes
Journal of Mathematics, 2021 This study deals with a single risky asset pricing model whose volatility is described by Wishart affine processes. This multifactor model with two dependency matrices describing the correlation between the asset dynamic and Wishart processes makes it ...
Raphael Naryongo +2 more
doaj +1 more source
Exotic option pricing model of the Black–Scholes formula: a proactive investment strategy
Frontiers in Physics, 2023 The option is an important derivative tool in financial market, and after decades of development, the option has emerged in various forms. This paper studies an exotic option with a proactive investment strategy.
Jingyu Wu +4 more
doaj +1 more source
Evaluation of the Reverse Mortgage Option in Korea: A Long Straddle Perspective
International Journal of Financial Studies, 2020 This study explored the option value embedded in a reverse mortgage in Korea through an empirical analysis, using the Black–Scholes option-pricing model. The value of a reverse mortgage is affected by the variation in house prices.
Kyung Jin Choi +2 more
doaj +1 more source
Proactive Hedging European Option Pricing with a General Logarithmic Position Strategy
Discrete Dynamics in Nature and Society, 2022 This study proposes an exotic option that extends the classical European option by requiring option holders to continuously trade in underlying assets according to a predesignated trading strategy with a general logarithmic position.
Lixin Qiao +4 more
doaj +1 more source
European option pricing on an incomplete market as an antagonistic game [PDF]
Известия Саратовского университета. Новая серия: Математика. Механика. ИнформатикаWe describe in detail the stochastic multi-step game corresponding to the European option pricing problem on an incomplete market with discrete time and a finite number of assets, without transaction costs and trading restrictions. Recurrent Bellman-type
Zverev, Oleg V. +1 more
doaj +1 more source