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81
Utility-based pricing of stochastic income
Published 2012“…This is in contrast to Henderson [18] where the underlying market is a Black-Scholes model and the optimal dual measure, without the income, is the minimal martingale measure ℚ<sup><em>M</em></sup>. …”
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82
A Front-Fixing Implicit Finite Difference Method for the American Put Options Model
Published 2021-04-01“…In this paper, we present an implicit finite difference method for the numerical solution of the Black–Scholes model of American put options without dividend payments. …”
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83
Analytic approximations for European-style Asian spread options
Published 2024-03-01“…In this paper, using distribution-approximating and moment-matching approaches, lower bounds of prices for the European spread option on the geometric average Asian option and arithmetic average Asian option are obtained in the classical Black-Scholes model. We verified the pricing accuracy of the proposed Asian-spread options by comparing our solutions with those obtained by Monte Carlo simulations. …”
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84
Efficient Hamiltonian simulation for solving option price dynamics
Published 2023-12-01“…The dynamics describing the price of vanilla options when constant volatilities and interest rates are assumed is governed by the Black-Scholes model, a linear parabolic partial differential equation with terminal value given by the payoff of the option contract and no additional boundary conditions. …”
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85
Kou Jump Diffusion Model: An Application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 Index Options
Published 2016-09-01“…This research focuses on the empirical comparative analysis of three models of option pricing: a) the implied volatility daily calibrated Black-Scholes model, b) the Cox and Ross univariate model with the volatility which is a deterministic and inverse function of the underlying asset price and c) the Kou jump diffusion model. …”
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86
Fractional Riccati equation and its applications to rough Heston model using numerical methods
Published 2020“…In this paper, we will be giving a short introduction to option pricing theory (Black–Scholes model, classical Heston model and its characteristic function), an overview of the current advancements on the rough Heston model and numerical methods (fractional Adams–Bashforth–Moulton method and multipoint Padé approximation method) for solving the fractional Riccati equation. …”
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87
An Efficient Numerical Method for Pricing Double-Barrier Options on an Underlying Stock Governed by a Fractal Stochastic Process
Published 2023-05-01“…The resultant model is time-fractional and is herein referred to as a time-fractional Black-Scholes model. The presence of the time-fractional derivative helps to capture the time-decaying effects of the underlying stock while capturing the globalized change in underlying prices and barriers. …”
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88
An Analysis of the Fractional-Order Option Pricing Problem for Two Assets by the Generalized Laplace Variational Iteration Approach
Published 2022-11-01“…It is well recognized that the Black–Scholes model is an effective tool for estimating the cost of an option. …”
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89
Quadrinomial trees with stochastic volatility to value real options
Published 2021-12-01“…Findings – Findings showed that in the proposed method with volatility tends to zero, the multiplicative binomial traditional method is a particular case, and results are comparable between these methodologies, as well as to the exact solution offered by the Black–Scholes model. Originality/value – The originality of this paper lies in try to model the implicit (conditional) market volatility to assess, based on that, a real option using a quadrinomial tree, including into this valuation the stochastic volatility of the underlying asset. …”
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90
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91
Numerical Solution of Fractional Black-Scholes Equation by Using Radial Basis Function (RBF) Approximation Method
Published 2020-12-01“…The fractional Black-Scholes equation gives better solutions than classical Black-Scholes model to our data which their distribution of stock price depend on long-range. …”
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92
Kou Jump Diffusion Model: An Application to the S&P 500; Nasdaq 100 and Russell 2000 Index Options
Published 2016-10-01“… This research focuses on the empirical comparative analysis of three models of option pricing: a) the implied volatility daily calibrated Black-Scholes model, b) the Cox and Ross univariate model with the volatility which is a deterministic and inverse function of the underlying asset price and c) the Kou jump diffusion model. …”
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93
Methods of simulation mathematical modeling of the Russian derivatives market in modern times
Published 2019-12-01“…A group of realistic nonGaussian Levy processes that generalize the classical BlackScholes model is considered. The work objective is to study the most efficient methods of market forecasting, as well as the software implementation of the simulation mathematical modeling technique of the Russian derivatives market based on the Levy model. …”
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94
Hedging using reinforcement learning: Contextual k-armed bandit versus Q-learning
Published 2023-11-01“…We find that the k-armed bandit model naturally fits to the Profit and Loss formulation of hedging, providing for a more accurate and sample efficient approach than Q-learning and reducing to the Black-Scholes model in the absence of transaction costs and risks.…”
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95
Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation
Published 2017“…Our numerical results with the Black-Scholes model show that sufficiently accurate results are achieved while gaining speedups between 80 and 160 compared to the high-fidelity sparse grid model for 2-, 3-, and 4-asset options. …”
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96
Pricing holder-extendable call options with mean-reverting stochastic volatility
Published 2015“…Numerical results also demonstrate that when the Heston correlation is negative, the Black–Scholes model under-prices in-the-money and over-prices out-of-the-money holder-extendable call options compared with the Heston model, which is analogous to the behaviour for vanilla calls.…”
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97
Kou Jump Diffusion Model: An Application to the S&P 500; Nasdaq 100 and Russell 2000 Index Options
Published 2016-10-01“… This research focuses on the empirical comparative analysis of three models of option pricing: a) the implied volatility daily calibrated Black-Scholes model, b) the Cox and Ross univariate model with the volatility which is a deterministic and inverse function of the underlying asset price and c) the Kou jump diffusion model. …”
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98
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models
Published 2021-01-01“…We illustrate this approach by applying it to the seminal Black/Scholes model and its extension to stochastic volatility, while using option data for Apple (AAPL) and Google (GOOG). …”
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99
Fractional Riccati Equation and Its Applications to Rough Heston Model Using Numerical Methods
Published 2020-06-01“…In this paper, we will be giving a short introduction to option pricing theory (Black–Scholes model, classical Heston model and its characteristic function), an overview of the current advancements on the rough Heston model and numerical methods (fractional Adams–Bashforth–Moulton method and multipoint Padé approximation method) for solving the fractional Riccati equation. …”
Get full text
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100
Kou Jump Diffusion Model: An Application to the S&P 500; Nasdaq 100 and Russell 2000 Index Options
Published 2016-10-01“… This research focuses on the empirical comparative analysis of three models of option pricing: a) the implied volatility daily calibrated Black-Scholes model, b) the Cox and Ross univariate model with the volatility which is a deterministic and inverse function of the underlying asset price and c) the Kou jump diffusion model. …”
Get full text
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