Results 11 to 20 of about 31,331 (287)
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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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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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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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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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
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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
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FFT-based Option Pricing [PDF]
, 2005 The Black-Scholes formula, one of the major breakthroughs of modern finance, allows for an easy and fast computation of option prices. But some of its assumptions, like constant volatility or log-normal distribution of asset prices, do not find justification in the markets. More complex models, which take into account the empirical facts, often lead to
Szymon Borak +2 more
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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
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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
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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
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