Results 31 to 40 of about 1,937,997 (308)
PRICING OF THE ASIAN OPTION WITH THE KAMRAD-RITCHKEN’S TRINOMIAL MODEL
BarekengAsian Option determines its payoff option value by the average stock during the option period. This research aims to determine the price of Asian Option by average arithmetic using Kamrad-Ritchken’s Trinomial method.
Jihan Nabila Wafa’, Emy Siswanah
doaj +1 more source
Commodity price risk management using option strategies
Agricultural Economics (AGRICECON), 2015 In the world of increasing price volatility, it is more important than ever to understand how to manage the price risk. The paper deals with the price risk management issues associated with commodities.
Martina RUSNÁKOVÁ
doaj +1 more source
Proactive Hedging European Option Pricing with a General Logarithmic Position Strategy
Discrete Dynamics in Nature and Society, 2022 This study proposes an exotic option that extends the classical European option by requiring option holders to continuously trade in underlying assets according to a predesignated trading strategy with a general logarithmic position.
Lixin Qiao +4 more
doaj +1 more source
Deep Learning Option Price Movement
RisksUnderstanding how price-volume information determines future price movement is important for market makers who frequently place orders on both buy and sell sides, and for traders to split meta-orders to reduce price impact.
Weiguan Wang, Jia Xu
doaj +1 more source
Pricing of Proactive Hedging European Option with Dynamic Discrete Position Strategy
Discrete Dynamics in Nature and Society, 2019 Proactive hedging European option is an exotic option for hedgers in the options market proposed recently by Wang et al. It extends the classical European option by requiring option holders to continuously trade in underlying assets according to a ...
Meng Li, Xuefeng Wang, Fangfang Sun
doaj +1 more source
A Kramers-Moyal approach to the analysis of third-order noise with applications in option valuation. [PDF]
PLoS ONE, 2015 We propose the use of the Kramers-Moyal expansion in the analysis of third-order noise. In particular, we show how the approach can be applied in the theoretical study of option valuation. Despite Pawula's theorem, which states that a truncated model may
Dan M Popescu, Ovidiu Lipan
doaj +1 more source
Proactive Hedging European Call Option Pricing with Linear Position Strategy
Discrete Dynamics in Nature and Society, 2018 Proactive hedging option is an exotic European stock option designed for hedgers. Such option requires option holders to buy in (or sell out) the underlying asset (stock) and allows them to adjust the holdings of the underlying asset per its price ...
Meng Li, Xuefeng Wang, Fangfang Sun
doaj +1 more source
Efficient Hamiltonian simulation for solving option price dynamics
Physical Review Research, 2023 Pricing financial derivatives, in particular European-style options at different time-maturities and strikes, means a relevant problem in finance. The dynamics describing the price of vanilla options when constant volatilities and interest rates are ...
Javier Gonzalez-Conde +3 more
doaj +1 more source
A Reduced Basis for Option Pricing [PDF]
SSRN Electronic Journal, 2010 We introduce a reduced basis method for the efficient numerical solution of partial integro-differential equations which arise in option pricing theory. Our method uses a basis of functions constructed from a sequence of Black-Scholes solutions with different volatilities.
Rama Cont +2 more
openaire +5 more sources
Solid Pseudopapillary Neoplasm of the Pancreas in Children and Adolescents: Expert Recommendations
Pediatric Blood &Cancer, EarlyView.ABSTRACT Solid pseudopapillary neoplasm of the pancreas (SPN) is a rare low‐grade malignant exocrine pancreatic tumor, mostly discovered during the second decade of life in females, with a very good prognosis, provided microscopically complete surgical excision is achieved.
Sabine Irtan +18 more
wiley +1 more source