Results 11 to 20 of about 1,864,079 (277)
Option pricing from wavelet-filtered financial series [PDF]
Physica A: Statistical Mechanics and its Applications, 2012 We perform wavelet decomposition of high frequency financial time series into large and small time scale components. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns out that the small scale component defined by most ($\simeq$ 99.6%) of the wavelet coefficients can be neglected for the purpose of option premium ...
V. T. X. de Almeida, L. Moriconi
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Modern Stochastics: Theory and Applications, 2015 We consider the Black–Scholes model of financial market modified to capture the stochastic nature of volatility observed at real financial markets.
Sergii Kuchuk-Iatsenko, Yuliya Mishura
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Delay geometric Brownian motion in financial option valuation [PDF]
, 2012 Motivated by influential work on complete stochastic volatility models, such as Hobson and Rogers [11], we introduce a model driven by a delay geometric Brownian motion (DGBM) which is described by the stochastic delay differential equation dSðtÞ ¼ mðSðt
Mao, Xuerong, Sabanis, Sotirios
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Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks
Mathematics, 2020 Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). The classical problem of pricing European and American financial options, based on the corresponding PDE formulations, is studied here ...
Beatriz Salvador +2 more
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Option pricing with non-Gaussian scaling and infinite-state switching volatility [PDF]
, 2014 Volatility clustering, long-range dependence, and non-Gaussian scaling are stylized facts of financial assets dynamics. They are ignored in the Black & Scholes framework, but have a relevant impact on the pricing of options written on financial assets ...
Baldovin, Fulvio +4 more
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Inferring Financial Bubbles from Option Data [PDF]
SSRN Electronic Journal, 2020 SummaryFinancial bubbles arise when the underlying asset's market price deviates from its fundamental value. Unlike other bubble tests that use time series data and assume a reduced‐form price process, we infer the existence of bubbles nonparametrically using option price data.
Robert A. Jarrow, Simon S. Kwok
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Review of modern numerical methods for a simple vanilla option pricing problem [PDF]
, 2018 Option pricing is a very attractive issue of financial engineering and optimization. The problem of determining the fair price of an option arises from the assumptions made under a given financial market model.
Holčapek, Michal +4 more
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Development of Innovative Tools in Global Financial Markets
Journal of Vasyl Stefanyk Precarpathian National University, 2022 The purpose of the article is to study the theoretical foundations and develop practical recommendations for improving the process of functioning financial instruments in global financial markets.
Khrystyna Danylkiv +4 more
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Black-Scholes option pricing within Ito and Stratonovich conventions [PDF]
, 2000 Options financial instruments designed to protect investors from the stock market randomness. In 1973, Fisher Black, Myron Scholes and Robert Merton proposed a very popular option pricing method using stochastic differential equations within the Ito ...
Arthur +32 more
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Journal of Finance and Data Science, 2023 Option is an important financial derivative. Accurate option pricing is essential to the development of financial markets. For option pricing, existing time series models and neural networks are difficult to extract multi-scale temporal features from ...
Luwei Lin +4 more
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