Results 11 to 20 of about 30,833 (292)
Markov model of option pricing
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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Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and price discontinuity.
Ai Jun Hou+7 more
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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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Pricing formula for exchange option in fractional black-scholes model with jumps [PDF]
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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Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
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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On regime-switching European option pricing
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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The Paradoxical Prices of Options
The synchronized relationship between financial and fundamental prices has been topical for years now. It seems that option pricing theory has not been used to disentangle that relationship between two prices during merger and acquisition (M&A) activities.
Gianluca Marcato, Tumellano Sebehela
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Distributed Least-Squares Monte Carlo for American Option Pricing
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
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Research on insurance pricing under option game based on Black-Scholes model [PDF]
The 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
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American option pricing with stochastic volatility processes
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
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