Results 11 to 20 of about 335,056 (277)
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
doaj +1 more source
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
doaj +1 more source
Distributed Least-Squares Monte Carlo for American Option Pricing
Risks, 2023 Option pricing is an important research field in financial markets, and the American option is a common financial derivative. Fast and accurate pricing solutions are critical to the stability and development of the market.
Lu Xiong +3 more
doaj +1 more source
Black-Scholes option pricing within Ito and Stratonovich conventions [PDF]
, 2000 Options financial instruments designed to protect investors from the stock market randomness. In 1973, Fisher Black, Myron Scholes and Robert Merton proposed a very popular option pricing method using stochastic differential equations within the Ito ...
Arthur +32 more
core +2 more sources
Research on insurance pricing under option game based on Black-Scholes model [PDF]
SHS Web of ConferencesThe pricing of insurance products has always occupied a central position in the insurance business and has long been an important focus of academic research.
Zhang Yicheng
doaj +1 more source
American option pricing with stochastic volatility processes
Journal of Hebei University of Science and Technology, 2017 In order to solve the problem of option pricing more perfectly, the option pricing problem with Heston stochastic volatility model is considered. The optimal implementation boundary of American option and the conditions for its early execution are ...
Ping LI, Jianhui LI
doaj +1 more source
تحقیقات مالی, 1996 This paper is a translation of a chapter of the hook written by Jonathan E. Ingersoll Jr. The Farsi translation will he of great help to Iranian students studying option pricing models.
دکتر غلامرضا اسلامی بیدگلی +1 more
doaj
Research on hybrid option pricing model based on FFT and Transformer algorithm [PDF]
Journal of Hebei University of Science and TechnologyIn order to solve the problem of the large deviation between the classical option pricing model and the actual price data, based on the BS option pricing model, the Fast Fourier Transform (FFT) combined with the Transformer's multi-head attention ...
Wei WEN, Zhiyuan FU, Yanhui ZHANG
doaj +1 more source
Option pricing under Black–Scholes, Boness and Binomial tree models- evidence from the gold coin option contracts in Iran mercantile exchange Mahdie Amiri [PDF]
فصلنامه بورس اوراق بهادار, 2020 The purpose of this research is the pricing of gold coin option contracts in Iran mercantile exchange. The price of gold coin option contracts has been estimated by the Black–Scholes,Boness and Binomial tree models.For this purpose, the theoretical ...
Mahdie Amiri
doaj +1 more source
Fuzzy Optimization of Option Pricing Model and Its Application in Land Expropriation
Journal of Applied Mathematics, 2014 Option pricing is irreversible, fuzzy, and flexible. The fuzzy measure which is used for real option pricing is a useful supplement to the traditional real option pricing method. Based on the review of the concepts of the mean and variance of trapezoidal
Aimin Heng, Qian Chen, Yingshuang Tan
doaj +1 more source