Results 11 to 20 of about 326,715 (285)
Markov model of option pricing
Lietuvos Matematikos Rinkinys, 2021 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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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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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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IMEX Runge-Kutta method for solving jump-diffusion option pricing equation
上海师范大学学报. 自然科学版, 2022 The study on financial derivatives pricing has been one of the difficult issues in financial mathematics. With the continuous development and improvement of option pricing theory, the research on the jump-diffusion option pricing model has become a ...
LI Zifeng, WANG Wansheng
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Smile from the Past: A general option pricing framework with multiple volatility and leverage components [PDF]
, 2013 In the current literature, the analytical tractability of discrete time option pricing models is guarantee only for rather specific type of models and pricing kernels. We propose a very general and fully analytical option pricing framework encompassing a
Adam A. Majewski +51 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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Review of modern numerical methods for a simple vanilla option pricing problem [PDF]
, 2018 Option pricing is a very attractive issue of financial engineering and optimization. The problem of determining the fair price of an option arises from the assumptions made under a given financial market model.
Holčapek, Michal +4 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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Pricing average price advertising options when underlying spot market prices are discontinuous [PDF]
, 2018 Advertising options have been recently studied as a special type of guaranteed contracts in online advertising, which are an alternative sales mechanism to real-time auctions.
Chen, Bowei, Kankanhalli, Mohan
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