Results 31 to 40 of about 14,774 (265)
Fuzzy Optimization of Option Pricing Model and Its Application in Land Expropriation
Journal 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
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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
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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
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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 +2 more
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A Reduced Basis for Option Pricing [PDF]
SSRN Electronic Journal, 2010 We introduce a reduced basis method for the efficient numerical solution of partial integro-differential equations which arise in option pricing theory. Our method uses a basis of functions constructed from a sequence of Black-Scholes solutions with different volatilities.
Rama Cont +2 more
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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 +2 more
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Singular Perturbations in Option Pricing [PDF]
SIAM Journal on Applied Mathematics, 2003 In an earlier paper [Int. J. Theor. Appl. Finance 3, No. 1, 101--142 (2000; Zbl 1153.91497)] concerning stochastic volatility models (in which the volatility is driven by an additional Brownian motion), the authors have shown that, in the presence of a separation of time scales between the main observerd process and the volatility driving process ...
George Papanicolaou +3 more
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Dementia Incidence in Individuals With Parkinson's Disease in the Framingham Heart Study
Annals of Clinical and Translational Neurology, EarlyView.ABSTRACT Limited information exists on incident dementia in individuals with Parkinson's disease (PD) in US community‐based samples. We examined cognitive statuses and PD diagnoses of 183 individuals in the Framingham Heart Study (FHS) to establish incident dementia, mortality rates, associations with sex, age at PD onset, and education level.
Joshi Dookhy +11 more
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Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate
Discrete 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
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Options Prices in Incomplete Markets [PDF]
ESAIM: Proceedings and Surveys, 2017 Summary: In this paper, we consider the valuation of an option with time to expiration \(T\) and pay-off function \(g\) which is a convex function (as is a European call option), and constant interest rate \(r = 0\), for a variety of underlying price process models constructed from two independent Poisson processes, and an independent Brownian motion ...
Jacod Jean, Protter Philip
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