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[PDF] Top 20 Density functionals, with an option-pricing application

Has 10000 "Density functionals, with an option-pricing application" found on our website. Below are the top 20 most common "Density functionals, with an option-pricing application".

Density functionals, with an option-pricing application

Density functionals, with an option-pricing application

... estimating density-related functionals, without prior knowl- edge of the density’s functional form+ The approach revolves around the specifi- cation of an explicit formula for a new class of distributions ... See full document

35

On the Efficacy of Fourier Series Approximations for Pricing European Options

On the Efficacy of Fourier Series Approximations for Pricing European Options

... the application of the Fast Fourier Transform ...call option in terms of an integral over the characteristic ...an application of the ...probability density of returns by a Fourier cosine ... See full document

23

Application of Malliavin Calculus and Wiener chaos to option pricing theory

Application of Malliavin Calculus and Wiener chaos to option pricing theory

... underlying density is not lognormal, the approximation methods do not hold any more since they heavily rely on the lognormal ...empirical density from market data, requiring very often a calibra­ tion ... See full document

204

State Price Density Estimation and Nonparametric Pricing of Basket Options

State Price Density Estimation and Nonparametric Pricing of Basket Options

... the density function are used) is based on how well the pricing formula approximate the actual option prices as in Algorithm 1 (or on how well the estimated density works for the ... See full document

9

MODELING AND SIMULATION OF GRID CONNECTED PHOTOVOLTAIC DISTRIBUTED GENERATION 
SYSTEM

MODELING AND SIMULATION OF GRID CONNECTED PHOTOVOLTAIC DISTRIBUTED GENERATION SYSTEM

... For exotic options, we have no exact knowledge about the price's concavity. In this case we have to solve these two nonlinear PDEs in (10). The finite difference method is used, at each time time we have to use an ... See full document

7

On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound Option

On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound Option

... neutral pricing of European compound call option, where the underlying asset is also a European call ...neutral pricing formula for compound call option, converges in distribution to the well ... See full document

20

Ririn Sispiyati

Ririn Sispiyati

... European option is a financial contract which gives its holder a right (but not an obligation) to buy or sell an underlying asset from writer at the time of expiry for a pre-determined ...options pricing ... See full document

7

How Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing?

How Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing?

... joint option and day-ahead markets is calculated for the uniform and pay-as-bid cases considering fuel price uncertainty and load change in the delivery ... See full document

10

Recent Developments in Option Pricing

Recent Developments in Option Pricing

... 2, we study option pricing for pure jump processes, jump diffusion models, stochastic volatility models, and jump diffusion models with stochastic volatility. Moreover, closed form solutions are obtained by ... See full document

9

Option pricing in a path integral framework

Option pricing in a path integral framework

... In devising this solution, Geske and Johnson determine at each instant, dt, the put will be exercised if, the put has not already been exercised and the payoff from exer- cising the put equals or exceeds the value of the ... See full document

300

The Accelerated Binomial Option Pricing Model

The Accelerated Binomial Option Pricing Model

... To give some idea of its accuracy we refer first to Table I.~ wher’e three sets of Americ:an option values, for" the data -originally given by Cox and Rubinstein [4] and F’arkinson [8] a[r] ... See full document

19

Multi asset Spread Option Pricing and Hedging

Multi asset Spread Option Pricing and Hedging

... relative pricing error of the extended Kirk approximation is in the order of 10 −2 , while that of the second-order boundary approximation is in the order of 10 −5 ... See full document

40

Option Pricing Applications of Quadratic Volatility Models

Option Pricing Applications of Quadratic Volatility Models

... Option pricing based on the Black-Scholes model is widely used in the financial ...the pricing of European-style ...tion pricing formulas for different models which are as- sumed to follow a ... See full document

16

Some Properties for the American Option Pricing Model

Some Properties for the American Option Pricing Model

... S t changes when the volatility    t changes during the life-span of the option contract. We show that there is a global comparison principle for the free boundary with respect to the change of volatility . ... See full document

8

Optimal option pricing and trading: a new theory

Optimal option pricing and trading: a new theory

... Optimal option pricing and trading: a new theory Moawia, Alghalith.[r] ... See full document

15

Alternative Tilts for Nonparametric Option Pricing

Alternative Tilts for Nonparametric Option Pricing

... to option pricing of Stutzer (1996) by demonstrating that the canonical valuation methodology in- troduced therein is one member of the Cressie-Read family of divergence mea- ...in pricing options ... See full document

28

Option pricing with Legendre polynomials

Option pricing with Legendre polynomials

... They represent different schools of thoughts for the modelling of asset prices as random processes. In their seminal work in [45], Black and Scholes modelize the asset prices as a geometric Brownian motion i.e asset ... See full document

34

Coarse Thinking and Pricing a Financial Option

Coarse Thinking and Pricing a Financial Option

... call option with its underlying stock as equation (6h) ...call option, equation (6h) should be recovered if the market consists of coarse thinkers as well as rational ... See full document

38

Three Important Applications of Mathematics in Financial Mathematics

Three Important Applications of Mathematics in Financial Mathematics

... study option pricing problem and invest- ment decision problem is an important direction of the development of modern financial theory, and some achievements have been ...the application of ... See full document

6

The Malliavin Derivative and Application to Pricing and Hedging a European Exchange Option

The Malliavin Derivative and Application to Pricing and Hedging a European Exchange Option

... look at an American exchange option where the buyer would exercise on or before maturity. Such an exercise time will be a stopping time and the price for such an option will be the essential supremum, over ... See full document

11

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