Results 211 to 220 of about 11,958 (268)
Elucidating attentional mechanisms underlying value normalization in human reinforcement learning
Cecchi R, Palminteri S, Gluth S.
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Various passport options and their valuation [PDF]
Applied Mathematical Finance, 1999 The passport option is a call option on the balance of a trading account. The option holder retains the gain from trading, while the writer is liable for the loss. Multi-asset passport options and passport options with discrete constraints are studied. For the first ones the pricing equations are Hamilton-Jacobi-Bellman equations.
H. Ahn, A. Penaud, P. Wilmott
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Valuation of options by using Excel
2015 38th International Convention on Information and Communication Technology, Electronics and Microelectronics (MIPRO), 2015Options represent the right to buy or to sell a specific number of underlying assets (stocks, indexes, commodities etc.) at a given price in a predetermined period of time. To analyze the value of options the Black and Scholes model will be presented and special spreadsheets will be developed using only “plain vanilla” Excel, i.e.
Zdenko Prohaska +2 more
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Seasonality and the valuation of commodity options [PDF]
Journal of Banking & Finance, 2011 Price movements in many commodity markets exhibit significant seasonal patterns. In this paper, we study the effects of seasonal volatility on models' option pricing performance. In terms of options pricing, a deterministic seasonal component at the price level can be neglected.
Janis Back +2 more
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Approximate valuation of average options
Annals of Operations Research, 1993zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hideki Iwaki +2 more
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Noncommutative Valuation of Options
Reports on Mathematical Physics, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The Valuation of Options on Futures Contracts
The Journal of Finance, 1985ABSTRACTRational restrictions are derived for the values of American options on futures contracts. For these options, the optimal policy, in general, involves premature exercise. A model is developed for valuing options on futures contracts in a constant interest rate setting.
Ramaswamy, Krishna, Sundaresan, Suresh M
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A Note on the Valuation of American Option
Journal of Partial Differential Equations, 2003It is well known that the pricing problem of an American option can be reduced to an optimal stopping problem using probability and then a free boundary value problem of a parabolic partial differential equation. In this paper, the authors use a PDE approach to show that the pricing problem of an American put option is equivalent to a free boundary ...
Bian, Baojun, Jiang, Lishang
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Real Option Valuation with Neural Networks
International Journal of Intelligent Systems in Accounting, Finance & Management, 1998We propose to use neural networks to value options when analytical solutions do not exist. The basic idea of this approach is to approximate the value function of a dynamic program by a neural net, where the selection of the network weights is done via simulated annealing.
Taudes, Alfred +2 more
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On the option valuation and decomposition of exchange option
Journal of Applied Mathematics and Computing, 2002The authors consider the model for financial market, in which \(n+1\) assets are traded. The price \(S_{t}^0\) of the first of these assets evolves according to the equation \(dS_{t}^0=rS_{t}^0dt,\;S_{0}^0=1,\) where \(r\) is the riskless interest rate.
Choi, Won, Ahn, Seung Chul
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