Results 21 to 30 of about 30,833 (292)

Option pricing under Black–Scholes, Boness and Binomial tree models- evidence from the gold coin option contracts in Iran mercantile exchange Mahdie Amiri [PDF]

open access: yesفصلنامه بورس اوراق بهادار, 2020
The purpose of this research is the pricing of gold coin option contracts in Iran mercantile exchange. The price of gold coin option contracts has been estimated by the Black–Scholes,Boness and Binomial tree models.For this purpose, the theoretical ...
Mahdie Amiri
doaj   +1 more source

Option Pricing Models [PDF]

open access: yesتحقیقات 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   +1 more
doaj  

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

open access: yesJournal 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 Generators

open access: yesFrontiers of Mathematical Finance, 2023
We characterize a class of option pricing models by their algebraic structure. Option prices are monoids, that is operators endowed with the commutativity and associativity property and an identity element. If the price of the underlying asset is bounded, the operator corresponds to the concept of t-conorm, while if it is defined on the positive real ...
Carr, Peter, Cherubini, Umberto
openaire   +1 more source

Fuzzy Optimization of Option Pricing Model and Its Application in Land Expropriation

open access: yesJournal 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

Comprehensive Method to Determine Real Option Utilizing Probability Distribution [PDF]

open access: yesInternational 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
doaj  

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

open access: yesScience 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

open access: yesActa 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

Valuation of the Vulnerable Option Price Based on Mixed Fractional Brownian Motion

open access: yesDiscrete 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
doaj   +1 more source

Equilibrium pricing bounds on option prices [PDF]

open access: yesMathematics and Financial Economics, 2005
We consider the problem of valuing European options in a complete market but with incomplete data. Typically, when the underlying asset dynamics is not specified, the martingale probability measure is unknown. Given a consensus on the actual distribution of the underlying price at maturity, we derive an upper bound on the call option price by putting ...
Jouini, Elyès, Chazal, Marie
openaire   +6 more sources

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