Results 1 to 10 of about 1,754,337 (200)
Entropic Dynamics of Stocks and European Options [PDF]
Entropy, 2019 We develop an entropic framework to model the dynamics of stocks and European Options. Entropic inference is an inductive inference framework equipped with proper tools to handle situations where incomplete information is available.
Mohammad Abedi, Daniel Bartolomeo
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A numerical method for solving the underlying price problem driven by a fractional Levy process [PDF]
Mathematics and Modeling in Finance, 2022 We consider European style options with risk-neutral parameters and time-fractional Levy diffusion equation of the exponential option pricing model in this paper.
Tayebeh Nasiri +2 more
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Valuation of European Style Compound Option Written on European Style Currency and Power Options
International Journal of Analysis and Applications, 2020 The aim of the paper is paper is twofold. Firstly, we will derive an explicit closed formula for pricing the compound call option contingent upon a currency call option.
Javed Hussain
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PENGARUH PEMBAGIAN DIVIDEN MELALUI MODEL BLACK-SCHOLES
Jurnal Lebesgue, 2021 Stock trading has a risk that can be said to be quite large due to fluctuations in stock prices. In stock trading, one alternative to reduce the amount of risk is options. The focus of this research is on European options which are financial contracts by
Diana Purwandari
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A study of robust portfolio optimization with European options using polyhedral uncertainty sets
Operations Research Perspectives, 2021 We consider the problem of maximizing the worst-case return of a portfolio when the manager can invest in stocks as well as European options on those stocks, and the stock returns are modeled using an uncertainty set approach.
Hedieh Ashrafi, Aurélie C. Thiele
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European Option Pricing under Wishart Processes [PDF]
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 more flexible enough to fit the market data for short or long maturities.
Raphael Naryongo +2 more
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Pricing European and American Installment Options
Mathematics, 2022 This paper derives accurate and efficient analytic approximations for the prices of both European and American continuous-installment call and put options.
Joanna Goard, Mohammed AbaOud
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Pricing European Options under a Fuzzy Mixed Weighted Fractional Brownian Motion Model with Jumps
Fractal and Fractional, 2023 This study investigates the pricing formula for European options when the underlying asset follows a fuzzy mixed weighted fractional Brownian motion within a jump environment.
Feng Xu, Xiao-Jun Yang
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SWIFT Calibration of the Heston Model
Mathematics, 2021 In the present work, the SWIFT method for pricing European options is extended to Heston model calibration. The computation of the option price gradient is simplified thanks to the knowledge of the characteristic function in closed form.
Eudald Romo, Luis Ortiz-Gracia
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Proceedings, 2020 Computing implied volatility from observed option prices is a frequent and challenging task in finance, even more in the presence of dividends. In this work, we employ a data-driven machine learning approach to determine the Black–Scholes implied ...
Shuaiqiang Liu +3 more
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