Results 1 to 10 of about 335,056 (277)
Journal of Management Science and Engineering, 2017 This paper proposes an efficient option pricing model that incorporates stochastic interest rate (SIR), stochastic volatility (SV), and double exponential jump into the jump-diffusion settings.
Rongda Chen +5 more
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International Journal of Financial Studies, 2021 The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under certain
Vitor H. Carvalho, Raquel M. Gaspar
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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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Fractal and Fractional, 2022 The Black–Scholes option pricing model is one of the most significant achievements in modern investment science. However, many factors are constantly fluctuating in the actual financial market option pricing, such as risk-free interest rate, stock price,
Jianke Zhang, Yueyue Wang, Sumei Zhang
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Economics and Business Review, 2020 In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset?
Bieta Volker, Broll Udo, Siebe Wilfried
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Markov model of option pricing
Lietuvos Matematikos Rinkinys, 2021 In the article is proposed the algorithm of modeling the dynamics of asset prices by Markov process with continuous time and countable set of states and numerical option pricing.
Eimutis Valakevičius
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AIMS Mathematics, 2023 Uncertain fractional differential equation (UFDE) is very suitable for describing the dynamic change in uncertain environments. In this paper, we consider the European option pricing problem by applying the Caputo-Hadamard UFDEs to simulate the dynamic ...
Hanjie Liu, Yuanguo Zhu, Yiyu Liu
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Martingale Option Pricing [PDF]
, 2007 We show that our generalization of the Black-Scholes partial differential equation (pde) for nontrivial diffusion coefficients is equivalent to a Martingale in the risk neutral discounted stock price.
Bassler, K. E. +2 more
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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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Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
AIMS Mathematics, 2020 In this paper, pricing problem of the geometric Asian option in a subdiffusive Brownian motion regime is discussed. The subdiffusive property is manifested by the random periods of time, during which the asset price does not change.
Zhidong Guo +2 more
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