Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Hanani Farhah Harun"'
Publikováno v:
Results in Applied Mathematics, Vol 25, Iss , Pp 100522- (2025)
Partial differential equations (PDEs) hold significant potential for modelling natural phenomena. It is essential to look at a practical way to solve the PDEs. Recently, Artificial Neural Networks (ANN) have emerged as promising tool for approximatin
Externí odkaz:
https://doaj.org/article/f944f7e38b824c55b723f417e224c096
Publikováno v:
Journal of Physics: Conference Series. 1988:012045
The relative option pricing performance of Extended Generalised Leland models is examined in this study. We generalise the extended Leland models based on the implied adjusted volatility introduced in the models. Non-parametric framework is fitted in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::258d9d8375c4eae58e257cd1894ff080
https://doi.org/10.1088/1742-6596/1988/1/012045
https://doi.org/10.1088/1742-6596/1988/1/012045
Autor:
Hanani Farhah Harun, Mimi Hafizah
Publikováno v:
AIP Conference Proceedings.
This study aims to investigate the implied adjusted volatility functions using the different Leland option pricing models and to assess whether the use of the specified implied adjusted volatility function can lead to an improvement in option valuati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e04e78c245578d4cdd94ef3865b440a8
https://doi.org/10.1063/1.4907503
https://doi.org/10.1063/1.4907503
With the implied volatility as an important factor in financial decision-making, in particular in option pricing valuation, and also the given fact that the pricing biases of Leland option pricing models and the implied volatility structure for the o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0d2b4476970c4aa484c2284a83f58da2
Publikováno v:
AIP Conference Proceedings.
Volatility implied by an option pricing model is seen as the market participants' assessment of volatility. Past studies documented that implied volatility based on an option pricing model is found to outperform the historical volatility in forecasti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::98c473ace781a1892d9f3715f01fc867
https://doi.org/10.1063/1.4898509
https://doi.org/10.1063/1.4898509