Results 31 to 40 of about 30,833 (292)
Option pricing with discrete rebalancing [PDF]
We consider option pricing when dynamic portfolios are discretely rebalanced. The portfolio adjustments only occur after fixed relative variation of the stock price. The stock price follows a marked point process and the market is incomplete. We first characterize the equivalent martingale measures.
Olivier Scaillet+3 more
openaire +7 more sources
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
FFT-based Option Pricing [PDF]
The Black-Scholes formula, one of the major breakthroughs of modern finance, allows for an easy and fast computation of option prices. But some of its assumptions, like constant volatility or log-normal distribution of asset prices, do not find justification in the markets. More complex models, which take into account the empirical facts, often lead to
Szymon Borak+2 more
openaire +4 more sources
Model Calibration in Option Pricing
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
Power Option Pricing Based on Time-Fractional Model and Triangular Interval Type-2 Fuzzy Numbers
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
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
doaj +1 more source
Current trends in single‐cell RNA sequencing applications in diabetes mellitus
Single‐cell RNA sequencing is a powerful approach to decipher the cellular and molecular landscape at a single‐cell resolution. The rapid development of this technology has led to a wide range of applications, including the detection of cellular and molecular mechanisms and the identification and introduction of novel potential diagnostic and ...
Seyed Sajjad Zadian+6 more
wiley +1 more source
Rethinking plastic waste: innovations in enzymatic breakdown of oil‐based polyesters and bioplastics
Plastic pollution remains a critical environmental challenge, and current mechanical and chemical recycling methods are insufficient to achieve a fully circular economy. This review highlights recent breakthroughs in the enzymatic depolymerization of both oil‐derived polyesters and bioplastics, including high‐throughput protein engineering, de novo ...
Elena Rosini+2 more
wiley +1 more source
Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate
Options play a very important role in the financial market, and option pricing has become one of the focus issues discussed by the scholars. This paper proposes a new uncertain mean-reverting stock model with floating interest rate, where the interest ...
Zhaopeng Liu
doaj +1 more source
Index Option Pricing via Nonparametric Regression
Investors typically use the Black-Scholes (B-S) parametric model to value financial options. However, there is extensive empirical evidence that the B-S model, assuming constant volatility of stock returns, is far from adequate to price options.
Ka Po Kung
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