Zobrazeno 1 - 10
of 666
pro vyhledávání: '"European option"'
Publikováno v:
Alexandria Engineering Journal, Vol 112, Iss , Pp 235-245 (2025)
The time fractional Black–Scholes equation (TFBSE) is designed to evaluate price fluctuations within a correlated fractal transmission system. This model prices American or European put and call options on non-dividend-paying stocks. Reliable and e
Externí odkaz:
https://doaj.org/article/dceb552227eb40e186f8a6650a185827
Publikováno v:
AIMS Mathematics, Vol 9, Iss 5, Pp 11833-11850 (2024)
Conic finance theory, which has been developed over the past decade, replaces classical one-price theory with the bid-ask price economy in option pricing since the one-price principle ignores the bid-ask spread created by market liquidity. Within thi
Externí odkaz:
https://doaj.org/article/b7a4448c8af34e88bfd5f891a8490afe
Autor:
Xin Cai, Yihong Wang
Publikováno v:
Mathematics, Vol 12, Iss 21, p 3343 (2024)
This paper addresses the valuation of European options, which involves the complex and unpredictable dynamics of fractal market fluctuations. These are modeled using the α-order time-fractional Black–Scholes equation, where the Caputo fractional d
Externí odkaz:
https://doaj.org/article/3fe9f4fd0c104a1391d32912b40ae8c0
Publikováno v:
Open Mathematics, Vol 21, Iss 1, Pp 637-654 (2023)
Recently, regime-switching option pricing based on fractional diffusion models has been used, which explains many significant empirical facts about financial markets better. There are many methods to solve the problem, but to the best of our knowledg
Externí odkaz:
https://doaj.org/article/2e2cbffb74664a5dbe4369a3a888a067
Publikováno v:
Mathematics, Vol 12, Iss 17, p 2770 (2024)
This paper studies an artificial neural network (ANN) for multi-asset European options. Firstly, a simple three-layer ANN-3 is established with undetermined weights and bias. Secondly, the time–space discrete PDE of the multi-asset option is given
Externí odkaz:
https://doaj.org/article/a545144329a748c3bc370ddc9ee65c50
Publikováno v:
AIMS Mathematics, Vol 8, Iss 7, Pp 15633-15650 (2023)
Uncertain fractional differential equation (UFDE) is very suitable for describing the dynamic change in uncertain environments. In this paper, we consider the European option pricing problem by applying the Caputo-Hadamard UFDEs to simulate the dynam
Externí odkaz:
https://doaj.org/article/cf205919938540dba197164e707d557b
Publikováno v:
Tehnički Vjesnik, Vol 30, Iss 3, Pp 760-764 (2023)
Firstly, a method for measuring the risk aversion of investors was proposed based on the prospect theory. Secondly, under a sole hypothetical condition in which the risk aversion degree for different assets is the same in a market, the pricing of dis
Externí odkaz:
https://doaj.org/article/28a4cc109ae34cc4909cc6fddee8efe3
Autor:
Shou-de Huang, Xin-Jiang He
Publikováno v:
AIMS Mathematics, Vol 8, Iss 2, Pp 4875-4891 (2023)
In this paper, the pricing of European options under a new two-factor non-affine stochastic volatility model is studied. In order to reduce the computational complexity, we use the Taylor expansion and Fourier-cosine method to derive an analytical ap
Externí odkaz:
https://doaj.org/article/e376de23f14b4676adac7ba219e48dbc
Autor:
Betri Wendra
Publikováno v:
InPrime, Vol 4, Iss 2, Pp 128-140 (2022)
This research develops the appropriate formula to determine insurance premiums on agricultural commodity prices that provide coverage to policyholders for losses caused by falling prices. The price component is assumed to follow the Brownian Geometri
Externí odkaz:
https://doaj.org/article/23ace4962fe240d9a7ee6593535343ff