Results 1 to 10 of about 5,994 (147)
Multi-asset option pricing using an information-based model
Scientific African, 2020 Diversification of assets by an investor offers reduced exposure to risk compared to investing in a single asset. A multi-asset option gives an investor this advantage as its payout depends on the overall performance of several underlying assets.
Cynthia Ikamari +2 more
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Risks, 2023 We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an ...
Roman N. Makarov
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Three-Layer Artificial Neural Network for Pricing Multi-Asset European Option
MathematicsThis paper studies an artificial neural network (ANN) for multi-asset European options. Firstly, a simple three-layer ANN-3 is established with undetermined weights and bias.
Zhiqiang Zhou +4 more
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Multi-Asset Option Pricing Based on Exponential Lévy Process
Applied Mechanics and Materials, 2013 The multi-dimensional Esscher transform was used to find a locally equivalent martingale measure to price the options based on multi-asset. An integro-differential equation was driven for the prices of multi-asset options. The numerical method based on the Fourier transform was used to calculate some special multi-asset options in exponential Lévy ...
Nan Liu, Mei Ling Wang, Xue Bin Lü
exaly +3 more sources
Management Science, 2023 We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic setting, in that we only assume the knowledge of traded prices for other single- and multi-asset derivatives and even ...
Ariel David Neufeld +2 more
exaly +6 more sources
Pricing multi-asset options with tempered stable distributions
Financial InnovationWe derive methods for risk-neutral pricing of multi-asset options, when log-returns jointly follow a multivariate tempered stable distribution. These lead to processes that are more realistic than the better known Brownian motion and stable processes ...
Yunfei Xia, Michael Grabchak
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Multi-Asset Spot and Option Market Simulation [PDF]
SSRN Electronic Journal, 2021 We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows. We address the high-dimensionality of market observed call prices through an arbitrage-free autoencoder that approximates efficient low-dimensional representations of the prices while maintaining no static arbitrage in the ...
Magnus Wiese +6 more
openaire +3 more sources
Option Pricing using Quantum Computers [PDF]
Quantum, 2020 We present a methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods.
Nikitas Stamatopoulos +6 more
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Multi-Asset Spread Option Pricing and Hedging [PDF]
SSRN Electronic Journal, 2007 We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. Numerical analysis shows that while the latter method is more accurate than the former, both methods are extremely fast and accurate.
Li, Minqiang, Deng, Shijie, Zhou, Jieyun
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Total Value Adjustment of Multi-Asset Derivatives under Multivariate CGMY Processes
Fractal and Fractional, 2023 Counterparty credit risk (CCR) is a significant risk factor that financial institutions have to consider in today’s context, and the COVID-19 pandemic and military conflicts worldwide have heightened concerns about potential default risk.
Fengyan Wu +4 more
doaj +1 more source