Results 21 to 30 of about 14,774 (265)
Pricing complexity options [PDF]
Algorithmic Finance, 2015 We consider options that pay the complexity deficiency of a sequence of up and down ticks of a stock upon exercise. We study the price of European and American versions of this option numerically for automatic complexity, and theoretically for Kolmogorov complexity. We also consider run complexity, which is a restricted form of automatic complexity.
Malihe Alikhani +3 more
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PRICING ASIAN OPTIONS WITH CORRELATORS [PDF]
International Journal of Theoretical and Applied Finance, 2021 We derive a series expansion by Hermite polynomials for the price of an arithmetic Asian option. This requires the computation of moments and correlators of the underlying asset price which for a polynomial jump–diffusion process are given analytically; hence, no numerical simulation is required to evaluate the series. This allows to derive analytical
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American option pricing with stochastic volatility processes
Journal of Hebei University of Science and Technology, 2017 In order to solve the problem of option pricing more perfectly, the option pricing problem with Heston stochastic volatility model is considered. The optimal implementation boundary of American option and the conditions for its early execution are ...
Ping LI, Jianhui LI
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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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تحقیقات 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
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CoRR, 2021 This research investigates pricing financial options based on the traditional martingale theory of arbitrage pricing applied to neural SDEs. We treat neural SDEs as universal Itô process approximators. In this way we can lift all assumptions on the form of the underlying price process, and compute theoretical option prices numerically.
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Martingale option pricing [PDF]
Physica A: Statistical Mechanics and its Applications, 2007 We show that our generalization of the Black-Scholes partial differential equation (pde) for nontrivial diffusion coefficients is equivalent to a Martingale in the risk neutral discounted stock price. Previously, this was proven for the case of the Gaussian logarithmic returns model by Harrison and Kreps, but we prove it for much a much larger class of
J. L. McCauley +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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Option pricing under Black–Scholes, Boness and Binomial tree models- evidence from the gold coin option contracts in Iran mercantile exchange Mahdie Amiri [PDF]
فصلنامه 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
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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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