Zobrazeno 1 - 10
of 53
pro vyhledávání: '"Muddun Bhuruth"'
Publikováno v:
Engineering Analysis with Boundary Elements. 146:869-879
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::63e08361b1d54c037f6eb5299f62c3a2
https://doi.org/10.1016/j.enganabound.2022.11.015
https://doi.org/10.1016/j.enganabound.2022.11.015
Publikováno v:
Journal of Computational Science. 35:25-43
In this paper, we develop a high-order radial basis function finite difference (RBF-FD) approximation on a five-point stencil for pricing options under the regime-switching stochastic volatility models with log-normal and contemporaneous jumps (SVCJ)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f2974b8dd18ca56c3b9673afe48cbae8
https://doi.org/10.1016/j.jocs.2019.05.007
https://doi.org/10.1016/j.jocs.2019.05.007
Publikováno v:
International Journal of Data Science and Analytics. 10:193-203
Data-driven approaches to price computations of financial options are gaining in importance relative to methods based on numerical solutions of the pricing equations. Comparisons between artificial neural networks and the Black–Scholes pricing mode
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1a4d77746e8d3899da154c9be46f0e39
https://doi.org/10.1007/s41060-018-00173-x
https://doi.org/10.1007/s41060-018-00173-x
Publikováno v:
Computational Economics. 54:1085-1111
Market volatility smile risk in derivative pricing can be modelled by the Stochastic Alpha Beta Rho (SABR) model. Once calibrated to market data, prices of European and continuously monitored barrier options can be obtained using equivalent Black’s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8c5f48fe8bd0d976927e99c1ed865e44
https://doi.org/10.1007/s10614-018-9868-8
https://doi.org/10.1007/s10614-018-9868-8
Publikováno v:
Engineering Analysis with Boundary Elements. 92:207-217
Radial basis functions based finite difference schemes for the solution of partial differential equations have the advantage that an optimal choice of the shape parameter can yield better accuracies than standard finite difference discretisations bas
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b44ad5725bf1233df0ea5529ad312bfb
https://doi.org/10.1016/j.enganabound.2017.11.003
https://doi.org/10.1016/j.enganabound.2017.11.003
Autor:
Muddun Bhuruth, Deeveya Thakoor
Publikováno v:
Journal of Computational and Applied Mathematics. 330:1-14
Discontinuities in the stock price at ex-dividend dates make it hard to derive mathematically elegant solutions for European-style options with discrete dividends under the piecewise lognormal model. Numerical schemes such as non-recombining trees ar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0c49503770b660d41dfc2e2ebbb74f7b
https://doi.org/10.1016/j.cam.2017.08.006
https://doi.org/10.1016/j.cam.2017.08.006
Publikováno v:
Soft Computing in Data Analytics ISBN: 9789811305139
A popular model for the pricing of financial derivatives is the stochastic alpha beta rho model. The model has the capabilities for fitting various volatility structures observed in options markets. An optimization problem needs to be solved for esti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3d8ed41442500c5ea9f7f5103b010b8e
https://doi.org/10.1007/978-981-13-0514-6_3
https://doi.org/10.1007/978-981-13-0514-6_3
Publikováno v:
Advances in Intelligent Systems and Computing ISBN: 9789811080548
The unavailability of a closed-form formula for the American option price means that the price needs to be approximated by numerical techniques. The valuation problem can be formulated either as a linear complementarity problem or a free-boundary val
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::416f66975b0e9266ef2a15adcd84a78d
https://doi.org/10.1007/978-981-10-8055-5_13
https://doi.org/10.1007/978-981-10-8055-5_13
Publikováno v:
International Journal of Computer Mathematics. 92:2498-2514
In this paper, we consider the partial integro-differential equation arising when a stock follows a Poisson distributed jump process, for the pricing of Asian options. We make use of the meshless radial basis functions with differential quadrature fo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::68b4bca1168b197e69735dbf583cbc25
https://doi.org/10.1080/00207160.2015.1061125
https://doi.org/10.1080/00207160.2015.1061125
Publikováno v:
The Journal of Computational Finance. 18:129-161
Interest rate derivatives under jump-extended short-rate models have commonly been valued using lattice methods. Unfortunately, lattice methods have pitfalls, mainly in terms of accuracy, efficiency and ease of programming. This paper proposes a much
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2306fe646cde962d0e1cee99d2d8b3b1
https://doi.org/10.21314/jcf.2015.304
https://doi.org/10.21314/jcf.2015.304