Results 31 to 40 of about 30,833 (292)

Option pricing with discrete rebalancing [PDF]

open access: yesJournal of Empirical Finance, 2003
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

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

open access: yesData 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

FFT-based Option Pricing [PDF]

open access: yesSSRN Electronic Journal, 2005
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

open access: yesSultan 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

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

open access: yesComplexity, 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

open access: yesCogent 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
doaj   +1 more source

Current trends in single‐cell RNA sequencing applications in diabetes mellitus

open access: yesFEBS Open Bio, EarlyView.
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

open access: yesFEBS Open Bio, EarlyView.
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

open access: yesDiscrete Dynamics in Nature and Society, 2020
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

open access: yesEconometric Research in Finance, 2022
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
doaj   +1 more source

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