Results 11 to 20 of about 14,899 (264)
On the range of options prices [PDF]
Finance and Stochastics, 1997 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Eberlein, Ernst, Jacod, Jean
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Approximate Option Pricing [PDF]
Algorithmica, 1996 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chalasani, P., Saias, I., Jha, S.
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Equilibrium pricing bounds on option prices [PDF]
Mathematics and Financial Economics, 2005 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jouini, Elyès, Chazal, Marie
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Pricing Cryptocurrency Options [PDF]
, 2020 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.
Hou, Ai Jun +3 more
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Proceedings of the 8th Workshop on High Performance Computational Finance, 2015 In this paper, we explore the possible approaches to harness extra computing power from commodity hardware to speedup pricing calculation of individual options. Specifically, we leverage two parallel computing platforms: Open Computing Language (OpenCL) and Compute United Device Architecture (CUDA).
Simon Suo +3 more
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Heterogeneity and Option Pricing [PDF]
Review of Derivatives Research, 1997 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. The pricing kernel has fat tails and option prices do not conform to the Black-Scholes formula. Implied volatility exhibits a smile.
Benninga, Simon, Mayshar, Joram
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The Paradoxical Prices of Options
Review of Pacific Basin Financial Markets and Policies, 2022 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
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
Pricing complexity options [PDF]
Algorithmic Finance, 2015 We consider options that pay the complexity deficiency of a sequence of up and down ticks of a stock upon exercise. We study the price of European and American versions of this option numerically for automatic complexity, and theoretically for Kolmogorov complexity. We also consider run complexity, which is a restricted form of automatic complexity.
Malihe Alikhani +3 more
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Frontiers of Mathematical Finance, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Carr, Peter, Cherubini, Umberto
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