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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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Relativistic Option Pricing [PDF]
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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Comparative Meta-Analysis of Arbitrage Opportunities in Option Pricing Models: Evidence from Black-Scholes, Heston, and Binomial Models [PDF]
Pizhūhish/hā-yi ḥisābdārī-i mālīThe purpose of this study is to empirically investigate arbitrage based on option pricing models, which uses three pricing methods, including Black-Scholes, Heston, and binomial. This study is an applied analysis with a meta-analysis method in nature. By
Maedeh Alsadat Mahmoudian +2 more
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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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On regime-switching European option pricing
Cogent Economics & Finance, 2023 The concern of this article is to derive a regime switching model that can be utilized to price European call options for a financial market that exhibits structural changes with time.
Sebastian Kaweto Kalovwe +2 more
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Pricing formula for exchange option in fractional black-scholes model with jumps [PDF]
Journal of Hyperstructures, 2014 In this paper pricing formula for exchange option in a fractional Black-Scholes model with jumps is derived. We found out some errors in proof of pricing formula for European call option [7]. At first we revise these errors and then extend this result to
Kyong-Hui Kim +2 more
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IMEX Runge-Kutta method for solving jump-diffusion option pricing equation
上海师范大学学报. 自然科学版, 2022 The study on financial derivatives pricing has been one of the difficult issues in financial mathematics. With the continuous development and improvement of option pricing theory, the research on the jump-diffusion option pricing model has become a ...
LI Zifeng, WANG Wansheng
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Comprehensive Method to Determine Real Option Utilizing Probability Distribution [PDF]
International Journal of Research in Industrial Engineering, 2014 Data envelopment analysis (DEA) is a non-parametric analytical methodology widely used in efficiency measurement of decision making units (DMUs).
M. Modarres Yazdi +2 more
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