Results 21 to 30 of about 31,331 (287)
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
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Research on hybrid option pricing model based on FFT and Transformer algorithm [PDF]
Journal of Hebei University of Science and TechnologyIn 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
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Option Pricing: Classic Results
, 2012 We recall here the basics of the most classic result of option pricing, perhaps the most famous result in mathematical finance: the Black–Scholes theory for the pricing of “European options” in a perfect market, infinitely divisible and liquid, with no “friction” such as transaction costs or information lag.
Bernhard, Pierre +6 more
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Comprehensive Method to Determine Real Option Utilizing Probability Distribution [PDF]
International Journal of Research in Industrial Engineering, 2014 Data envelopment analysis (DEA) is a non-parametric analytical methodology widely used in efficiency measurement of decision making units (DMUs).
M. Modarres Yazdi +2 more
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RESEARCH ON WEATHER DERIVATIVES PRICING–THE CASE OF SHANGHAI MUNICIPALITY [PDF]
Science Heritage JournalWeather 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
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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
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Valuation of the Vulnerable Option Price Based on Mixed Fractional Brownian Motion
Discrete Dynamics in Nature and Society, 2018 The pricing problem of a kind of European vulnerable option was studied. The mixed fractional Brownian motion and the jump process were used to characterize the evolution of stock prices.
Yanmin Ouyang +2 more
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Data Science in Finance and Economics, 2023 This study is a review of literature on machine learning to examine the potential of deep learning (DL) techniques in improving the accuracy of option pricing models versus the Black-Scholes model and capturingcomplex features in financial data ...
Habib Zouaoui, Meryem-Nadjat Naas
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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
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Price discovery in the cryptocurrency option market: A univariate GARCH approach
Cogent Economics & Finance, 2020 In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models are applied to Bitcoin and the Cryptocurrency Index (CRIX).
Pierre J. Venter +2 more
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