Results 11 to 20 of about 915,119 (255)

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, Jiyao Luo, Hanna Vise, Madison White   +3 more
doaj   +1 more source

Research on insurance pricing under option game based on Black-Scholes model [PDF]

SHS Web of Conferences
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
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

Option Pricing Models [PDF]

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, حسین سرافراز اردکانی   +1 more
doaj  

Research on hybrid option pricing model based on FFT and Transformer algorithm [PDF]

Journal of Hebei University of Science and Technology
In 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 using hidden Markov models [PDF]

, 2006
Includes bibliographical references (leaves 144-149).This work will present an option pricing model that accommodates parameters that vary over time, whilst still retaining a closed-form expression for option prices: the Hidden Markov Option Pricing ...
Anderson, Michael
core   +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

Model Calibration in Option Pricing

Sultan Qaboos University Journal for Science, 2012
We consider calibration problems for models of pricing derivatives which occur in mathematical finance. We discuss various approaches such as using stochastic differential equations or partial differential equations for the modeling process.
Andre Loerx, Ekkehard W. Sachs
doaj   +1 more source

RESEARCH ON WEATHER DERIVATIVES PRICING–THE CASE OF SHANGHAI MUNICIPALITY [PDF]

Science Heritage Journal
Weather derivatives pricing is one of the central issues in the study of this type of financial product, and there is no uniform methodology. To price the temperature option with Shanghai temperature as the underlying and explore how to improve the ...
Pengfei Lv, Shanli Ye
doaj   +1 more source

Limiting Cases of the Black-Scholes Type Asymptotics of Call Option Pricing in the Generalised CRR Model

Acta Universitatis Lodziensis. Folia Oeconomica, 2023
The article concerns the generalised Cox‑Ross‑Rubinstein (CRR) option pricing model with new formulas for changes in upper and lower stock prices. The formula for option pricing in this model, which is the Black‑Scholes type formula, and its asymptotics ...
Emilia Fraszka-Sobczyk
doaj   +1 more source