Results 21 to 30 of about 335,056 (277)

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, M. Shafiei, S.M. Sahihi Oskooyi   +2 more
doaj  

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

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, Jingyuan Yang, Shengwu Zhou   +2 more
doaj   +1 more source

Option pricing using deep learning approach based on LSTM-GRU neural networks: Case of London stock exchange

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
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

Fractional constant elasticity of variance model

, 2006
This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are established without accounting for stochastic volatility.
Chan, Ngai Hang, Ng, Chi Tim
core   +2 more sources

Power Option Pricing Based on Time-Fractional Model and Triangular Interval Type-2 Fuzzy Numbers

Complexity, 2022
The problem of generalizing the power option-pricing model to incorporate more empirical features becomes an urgent and necessary event. A new power option pricing method is designed for the financial market uncertainty that simultaneously involves ...
Tong Wang, Pingping Zhao, Aimin Song
doaj   +1 more source

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, Eben Mare, Edson Pindza   +2 more
doaj   +1 more source

Option pricing and stochastic optimization [PDF]

, 2020
In this paper will be demonstrated that the link between optimal option value, risk measuring and risk managing is especially close, and it is given by stochastic optimization. Post the financial crisis of 2008 it has been clear that risk considerations
Shchestyuk, Nataliya
core