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Numerical Solution of European Put Option for Black-Scholes Model Using Keller Box Method

Jurnal Matematika UNAND
In this study, we propose to determine option pricing by using Black-Scholes model numerically. The Keller box method, a numerical method with a box-shaped implicit scheme, is chosen to solve the problem of pricing stock options, especially European-put ...
Lutfi Mardianto, Gusrian Putra, Benediktus Ivan Pratama, Endah R. M. Putri   +3 more
doaj   +1 more source

Using Partial Differential Equations for Pricing of Goods and Services

Scientific Annals of Economics and Business, 2016
This article is based on the methodology of comparative analysis, using an innovative approach for pricing of various goods and services. Benchmarking is the continuous search to find and adapt better pricing methods that leading to increased profits. We
Traykov Metodi, Trencheva Miglena, Mavrevski Radoslav, Stoilov Anton, Trenchev Ivan   +4 more
doaj   +1 more source

Analysis of parametric and non-parametric option pricing models. [PDF]

Heliyon, 2022
Luo Q, Jia Z, Li H, Wu Y.
europepmc   +1 more source

GARCH Options in Incomplete Markets [PDF]

We propose a new method to compute option prices based on GARCH models. In an incomplete market framework, we allow for the volatility of asset return to differ from the volatility of the pricing process and obtain adequate pricing results.
Barone-Adesi, Giovanni, Engle, Robert, Mancini, Loriano   +2 more
core  

Climate Action Impacts on Steelmaking Emissions of Persistent Organic Pollutants Highlight a Gap Between the Paris Agreement and the Stockholm Convention

Advanced Science, EarlyView.
Emissions of unintentionally produced persistent organic pollutants (UPOPs) and global warming are two major environmental challenges. But their governance has largely evolved in parallel, leaving the toxicity implications of climate‐driven industrial transitions poorly understood.
Yuxiang Sun, Qiuting Yang, Jianghui Yun, Yujue Yang, Junhao Tang, Qian Liu, Minghui Zheng, Guorui Liu   +7 more
wiley   +1 more source

Commodity Asian option pricing and simulation in a 4-factor model with jump clusters. [PDF]

Ann Oper Res, 2023
Brignone R, Gonzato L, Sgarra C.
europepmc   +1 more source

Demand-Based Option Pricing [PDF]

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option ...
Allen M. Poteshman, Lasse Heje Pedersen, Nicolae Garleanu   +2 more
core  

Recent Advances in Laser‐Induced Graphene‐Based Gas Sensors: From Sensing Mechanisms to Biomedical Applications

Advanced Science, EarlyView.
Laser‐induced graphene (LIG) provides a scalable, laser‐direct‐written route to porous graphene architecture with tunable chemistry and defect density. Through heterojunction engineering, catalytic functionalization, and intrinsic self‐heating, LIG achieves highly sensitive and selective detection of NOX, NH3, H2, and humidity, supporting next ...
Md Abu Sayeed Biswas, Ankan Dutta, Shuvendu Das, Abu Musa Abdullah, Wanqing Zhang, Fatema Tuz Zohra, Huanyu Cheng   +6 more
wiley   +1 more source

A comprehensive Python tool for interval valued bipolar Neutro-sophic sets and operations [PDF]

Journal of Fuzzy Extension and Applications
The increasing prominence of single-valued neutrosophic sets (SVNSs) and interval-valued neutrosophic sets (IVNSs) among researchers has propelled their adoption in diverse real-world applications.
Pranesh Prakash, Sofia John, Kalaivani Chandran, Florentin Smarandache   +3 more
doaj   +1 more source

Heterogeneity and option pricing [PDF]

An economy with agents having constant yet heterogeneous degrees of relative risk aversion prices assets as though there were a single decreasing relative risk aversion pricing representative agent.
Benninga, Simon, Mayshar, Joram
core   +1 more source