Results 11 to 20 of about 14,774 (265)
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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Frontiers of Mathematical Finance, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Carr, Peter, Cherubini, Umberto
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Comparative Meta-Analysis of Arbitrage Opportunities in Option Pricing Models: Evidence from Black-Scholes, Heston, and Binomial Models [PDF]
Pizhūhish/hā-yi ḥisābdārī-i mālīThe purpose of this study is to empirically investigate arbitrage based on option pricing models, which uses three pricing methods, including Black-Scholes, Heston, and binomial. This study is an applied analysis with a meta-analysis method in nature. By
Maedeh Alsadat Mahmoudian +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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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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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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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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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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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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