Results 241 to 250 of about 4,327,344 (283)
Some of the next articles are maybe not open access.
Evolutionary Neural Networks for Option Pricing: Multi-Assets Option and Exotic Option
Proceedings of the AAAI Symposium Series, 2023This paper presents a novel framework based on the evolutionary neural network to solve the generalized Black-Scholes equation arising in the financial market efficiently and accurately. We first employ evolutionary neural networks to parameterize the Partial Differential Equations (PDEs) involved in option pricing.
Yang Li, Zelin Wu, Feiyang Ye
openaire +1 more source
Meshfree Approximation for Multi-Asset Options [PDF]
SSRN Electronic Journal, 2009 We price multi-asset options by solving their price partial differential equations using a meshfree approach with radial basis functions under jump-diffusion and geometric Brownian motion frameworks. In the geo- metric Brownian motion framework, we propose an effective technique that breaks the multi-dimensional problem to multiple 3D problems.
Emmanuel Hanert, Aanand Venkatramanan
openaire +1 more source
Pricing multi-asset barrier options
2017 IEEE 56th Annual Conference on Decision and Control (CDC), 2017We obtain closed-form expressions for the exact no-arbitrage prices, as well as estimates, of some types of multivariate barrier options. A novelty for the estimates is that we combine ideas of convex analysis with tools of stochastic theory. The common aspect of all options herein is that the associated multivariate barriers are generated by ...
Estevao Rosalino +2 more
openaire +2 more sources
The hexanomial lattice for pricing multi-asset options
Applied Mathematics and Computation, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wen-Hung Kao, Yuh-Dauh Lyuu, Kuo-Wei Wen
openaire +3 more sources
A Penalty Method for American Multi-Asset Option Problems
Lobachevskii Journal of Mathematics, 2023zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
2013
In Chap. 6, we considered exotic options written on a single underlying. Further examples of exotic options are given by the so-called multi-asset options. These are options derived from d≥2 underlying risky assets, whose price movement can be described by a system of SDEs.
Norbert Hilber +3 more
openaire +1 more source
In Chap. 6, we considered exotic options written on a single underlying. Further examples of exotic options are given by the so-called multi-asset options. These are options derived from d≥2 underlying risky assets, whose price movement can be described by a system of SDEs.
Norbert Hilber +3 more
openaire +1 more source
ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS [PDF]
International Journal of Theoretical and Applied Finance, 2015 For an efficient computation of the counterparty credit exposure profiles of the multi-asset options, a simulation-based method, named the Stochastic Grid Bundling Method (SGBM), is applied. The method is based on a 'regression later' technique used for the conditional expectation approximation and a bundling (or 'binning') technique used for state ...
YANBIN SHEN +2 more
openaire +2 more sources
Pricing Multi-Asset Cross Currency Options [PDF]
SSRN Electronic Journal, 2012 This paper develops a general pricing method for multi-asset cross currency options, whose underlying asset consists of multiple different assets, and the evaluation currency is different from the ones used in the most liquid market of each asset; the examples include cross currency options, cross currency basket options and cross currency average ...
Kenichiro Shiraya, Akihiko Takahashi
openaire +3 more sources
An efficient numerical method for the valuation of American multi-asset options
Computational and Applied Mathematics, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Qi Zhang +3 more
openaire +2 more sources