Results 71 to 80 of about 1,024,611 (253)
Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration
Journal of Futures Markets, Volume 45, Issue 6, Page 547-568, June 2025.ABSTRACT Since the inception of Volatility Index (VIX) options trading, academic literature has persistently sought accurate methods for jointly calibrating the prices of the S&P 500 index (SPX) and VIX options. This study introduces a novel nonparametric approach, called the joint implied willow tree (JIWT) method, aimed at resolving this joint ...
Bing Dong, Wei Xu, Zhenyu Cui
wiley +1 more source
Pricing of a Binary Option Under a Mixed Exponential Jump Diffusion Model
MathematicsThis paper focuses on the pricing problem of binary options under stochastic interest rates, stochastic volatility, and a mixed exponential jump diffusion model.
Yichen Lu, Ruili Song
doaj +1 more source
Pricing the Financial Heston Model Using Parallel Finite Difference Method on GPU CUDA
International Journal of Applied Sciences and Smart Technologies, 2020 An option is a financial instrument in which two parties agree to exchange assets at a price or strike and the date or maturity is predetermined. Options can provide investors with information to set strategies so they can increase profits and reduce ...
Pranowo - Pranowo
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Option pricing in affine generalized Merton models [PDF]
, 2015 In this article we consider affine generalizations of the Merton jump diffusion model [Merton, J. Fin. Econ., 1976] and the respective pricing of European options.
D Belomestny +6 more
core +2 more sources
Appraising Model Complexity in Option Pricing
Journal of Futures Markets, Volume 45, Issue 5, Page 455-472, May 2025.ABSTRACT The research question we consider is whether incremental complexity in option pricing models is justified by incremental model performance. We apply the model confidence set as a formal model comparison approach in appraising stochastic volatility jump‐diffusion option pricing models, spanning affine and nonaffine specifications.
Mark Cummins, Francesco Esposito
wiley +1 more source
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from
Tak Kuen Siu
wiley +1 more source
Sustainable Portfolio Construction via Machine Learning: ESG, SDG and Sentiment
European Financial Management, EarlyView.ABSTRACT This study proposes portfolio construction strategies based on novel sentiment, ESG and SDG scores. We utilize natural language processing to establish a novel daily score system that mitigates concerns of different rating standards. The portfolios constructed are optimized via machine learning algorithms on a monthly basis using daily ...
Xin Feng +3 more
wiley +1 more source
The valuation of barrier options under a threshold rough Heston model
Journal of Management Science and Engineering, 2023 In this paper, we propose a novel model for pricing double barrier options, where the asset price is modeled as a threshold geometric Brownian motion time changed by an integrated activity rate process, which is driven by the convolution of a fractional ...
Kevin Z. Tong, Allen Liu
doaj
Option pricing in Heston model by means of weak approximations
Lietuvos Matematikos Rinkinys, 2013 We apply weak split-step approximations of the Heston model for evaluation of put and call option prices in this model.
Antanas Lenkšas, Vigirdas Mackevičius
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Owner‐Occupied Housing, Inflation, and Monetary Policy
Journal of Money, Credit and Banking, Volume 57, Issue 2-3, Page 583-614, March-April 2025.Abstract Owner‐occupied housing (OOH) is currently excluded from the harmonized index of consumer prices (HICP) in Europe. Using microlevel data for Sydney and aggregated data for the United States, France, and Germany, we compare the impact of alternative treatments of OOH on measured inflation.
ROBERT J. HILL +2 more
wiley +1 more source