Results 81 to 90 of about 335,056 (277)

Learning Parameter Dependence for Fourier-Based Option Pricing with Tensor Trains

Mathematics
A long-standing issue in mathematical finance is the speed-up of option pricing, especially for multi-asset options. A recent study has proposed to use tensor train learning algorithms to speed up Fourier transform (FT)-based option pricing, utilizing ...
Rihito Sakurai, Haruto Takahashi, Koichi Miyamoto   +2 more
doaj   +1 more source

It Takes Two to Tango: Estimation of the Zero-Risk Premium Strike of a Call Option via Joint Physical and Pricing Density Modeling

, 2021
Stephan Höcht, Dilip B. Madan, Wim Schoutens, Eva Verschueren   +3 more
openalex   +1 more source

Implicit Bayesian Inference Using Option Prices [PDF]

A Bayesian approach to option pricing is presented, in which posterior inference about the underlying returns process is conducted implicitly via observed option prices.
Catherine S. Forbes, Gael M. Martin, Vance L. Martin   +2 more
core  

Asian Option Pricing with Orthogonal Polynomials

, 2018
In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution.
Willems, Sander
core   +1 more source

Spectrally Tunable 2D Material‐Based Infrared Photodetectors for Intelligent Optoelectronics

Advanced Functional Materials, EarlyView.
Intelligent optoelectronics through spectral engineering of 2D material‐based infrared photodetectors. Abstract The evolution of intelligent optoelectronic systems is driven by artificial intelligence (AI). However, their practical realization hinges on the ability to dynamically capture and process optical signals across a broad infrared (IR) spectrum.
Junheon Ha, Yingshan Ma, Yong Nam An, Sung‐Un An, Hyeon Hak Jung, Suvi‐Tuuli Varjamo, Jiwon Yoo, Junho Min, Hanvit Kim, Faisal Ahmed, Sang Hoon Chae, Young Min Song, Weiwei Cai, Tawfique Hasan, Zhipei Sun, Dong‐Ho Kang, Hyeon‐Jin Shin, Yunyun Dai, Hoon Hahn Yoon   +18 more
wiley   +1 more source

Laser‐Induced Microfabrication of Carbon Nanostructure: Processing Mechanism and Application for Next‐Generation Battery Technology

Advanced Functional Materials, EarlyView.
The article reviews laser‐processed carbons from various precursors, processing mechanism and their application in advanced batteries. The laser process is chemical free, fast, and scalable, enabling improved battery performance and stability for Li, Na, and Zn battery technologies.
Sujit Deshmukh, Shaista Nouseen, Martin Pumera   +2 more
wiley   +1 more source

Numerical Solution of European Put Option for Black-Scholes Model Using Keller Box Method

Jurnal Matematika UNAND
In this study, we propose to determine option pricing by using Black-Scholes model numerically. The Keller box method, a numerical method with a box-shaped implicit scheme, is chosen to solve the problem of pricing stock options, especially European-put ...
Lutfi Mardianto, Gusrian Putra, Benediktus Ivan Pratama, Endah R. M. Putri   +3 more
doaj   +1 more source

Analysis of parametric and non-parametric option pricing models. [PDF]

Heliyon, 2022
Luo Q, Jia Z, Li H, Wu Y.
europepmc   +1 more source

On CAPM and Black-Scholes, differing risk-return strategies [PDF]

In their path-finding 1973 paper Black and Scholes presented two separate derivations of their famous option pricing partial differential equation (pde).
Gunaratne, Gemunu H., McCauley, Joseph L.   +1 more
core   +1 more source

European Option Pricing with Liquidity Shocks

, 2012
We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to trade.
Henderson V., Ilhan A., MICHAEL LUDKOVSKI, QUNYING SHEN, Schweizer M.   +4 more
core   +1 more source