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Artykuły w czasopismach na temat "Options (Finance) – Prices – Mathematical models"
Abraham, Rebecca, i Hani El-Chaarani. "A Mathematical Formulation of the Valuation of Ether and Ether Derivatives as a Function of Investor Sentiment and Price Jumps". Journal of Risk and Financial Management 15, nr 12 (8.12.2022): 591. http://dx.doi.org/10.3390/jrfm15120591.
Pełny tekst źródłaCARMONA, RENÉ, i SERGEY NADTOCHIY. "TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION". International Journal of Theoretical and Applied Finance 14, nr 01 (luty 2011): 107–35. http://dx.doi.org/10.1142/s0219024911006280.
Pełny tekst źródłaKumar Jaiswal, Jitendra, i Raja Das. "Artificial Neural Network Algorithms based Nonlinear Data Analysis for Forecasting in the Finance Sector". International Journal of Engineering & Technology 7, nr 4.10 (2.10.2018): 169. http://dx.doi.org/10.14419/ijet.v7i4.10.20829.
Pełny tekst źródłaEissa, Mahmoud A., i M. Elsayed. "Improve Stock Price Model-Based Stochastic Pantograph Differential Equation". Symmetry 14, nr 7 (1.07.2022): 1358. http://dx.doi.org/10.3390/sym14071358.
Pełny tekst źródłaFernández, Lexuri, Peter Hieber i Matthias Scherer. "Double-barrier first-passage times of jump-diffusion processes". mcma 19, nr 2 (1.07.2013): 107–41. http://dx.doi.org/10.1515/mcma-2013-0005.
Pełny tekst źródłaAghabeygi, Mona, Kamel Louhichi i Sergio Gomez y Paloma. "Impacts of fertilizer subsidy reform options in Iran: an assessment using a Regional Crop Programming model". Bio-based and Applied Economics 11, nr 1 (20.07.2022): 55–73. http://dx.doi.org/10.36253/bae-10981.
Pełny tekst źródłaGiribone, Pier Giuseppe, i Roberto Revetria. "Certificate pricing using Discrete Event Simulations and System Dynamics theory". Risk Management Magazine 16, nr 2 (18.08.2021): 75–93. http://dx.doi.org/10.47473/2020rmm0092.
Pełny tekst źródłaNguyen, Ngoc Quynh Anh, i Thi Ngoc Trang Nguyen. "Risk measures computation by Fourier inversion". Journal of Risk Finance 18, nr 1 (16.01.2017): 76–87. http://dx.doi.org/10.1108/jrf-03-2016-0034.
Pełny tekst źródłaMadan, Dilip B., i King Wang. "Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models". Applied Mathematical Finance 28, nr 3 (4.05.2021): 201–35. http://dx.doi.org/10.1080/1350486x.2021.2007145.
Pełny tekst źródłaSKIADOPOULOS, GEORGE. "VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY". International Journal of Theoretical and Applied Finance 04, nr 03 (czerwiec 2001): 403–37. http://dx.doi.org/10.1142/s021902490100105x.
Pełny tekst źródłaRozprawy doktorskie na temat "Options (Finance) – Prices – Mathematical models"
Glover, Elistan Nicholas. "Analytic pricing of American put options". Thesis, Rhodes University, 2009. http://hdl.handle.net/10962/d1002804.
Pełny tekst źródłaLee, Mou Chin. "An empirical test of variance gamma options pricing model on Hang Seng index options". HKBU Institutional Repository, 2000. http://repository.hkbu.edu.hk/etd_ra/263.
Pełny tekst źródłaSong, Na, i 宋娜. "Mathematical models and numerical algorithms for option pricing and optimal trading". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hub.hku.hk/bib/B50662168.
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Mathematics
Doctoral
Doctor of Philosophy
Zhao, Jing Ya. "Numerical methods for pricing Bermudan barrier options". Thesis, University of Macau, 2012. http://umaclib3.umac.mo/record=b2592939.
Pełny tekst źródłaDharmawan, Komang School of Mathematics UNSW. "Superreplication method for multi-asset barrier options". Awarded by:University of New South Wales. School of Mathematics, 2005. http://handle.unsw.edu.au/1959.4/30169.
Pełny tekst źródłaMimouni, Karim. "Three essays on volatility specification in option valuation". Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103274.
Pełny tekst źródłaIn the second essay, we estimate the Constant Elasticity of Variance (CEV) model in order to study the level of nonlinearity in the volatility dynamic. We also estimate a CEV process combined with a jump process (CEVJ) and analyze the effects of the jump component on the nonlinearity coefficient. Estimation is performed using the particle filtering technique on a long series of S&P500 returns and on options data. We find that both returns data and returns-and-options data favor nonlinear specifications for the volatility dynamic, suggesting that the extensive use of linear models is not supported empirically. We also find that the inclusion of jumps does not affect the level of nonlinearity and does not improve the CEV model fit.
The third essay provides an empirical comparison of two classes of option valuation models: continuous-time models and discrete-time models. The literature provides some theoretical limit results for these types of dynamics, and researchers have used these limit results to argue that the performance of certain discrete-time and continuous-time models ought to be very similar. This interpretation is somewhat contentious, because a given discrete-time model can have several continuous-time limits, and a given continuous-time model can be the limit for more than one discrete-time model. Therefore, it is imperative to investigate whether there exist similarities between these specifications from an empirical perspective. Using data on S&P500 returns and call options, we find that the discrete-time models investigated in this paper have the same performance in fitting the data as selected continuous-time models both in and out-of-sample.
劉伯文 i Pak-man Lau. "Option pricing: a survey". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31977911.
Pełny tekst źródłaChan, Ka Hou. "European call option pricing under partial information". Thesis, University of Macau, 2017. http://umaclib3.umac.mo/record=b3691380.
Pełny tekst źródłaOagile, Joel. "Sequential Calibration of Asset Pricing Models to Option Prices". Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29840.
Pełny tekst źródła蕭德權 i Tak-kuen Siu. "Risk measures in finance and insurance". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31242297.
Pełny tekst źródłaKsiążki na temat "Options (Finance) – Prices – Mathematical models"
Wilmott, Paul. Option pricing: Mathematical models and computation. Oxford, UK: Oxford Financial Press, 1997.
Znajdź pełny tekst źródłaKatz, Jeffrey Owen. Advanced option pricing models: An empirical approach to valuing options. New York: McGraw-Hill, 2005.
Znajdź pełny tekst źródłaBates, David S. Testing option pricing models. Cambridge, MA: National Bureau of Economic Research, 1995.
Znajdź pełny tekst źródłaMatthias, Ehrhardt, red. Nonlinear models in mathematical finance: New research trends in option pricing. New York: Nova Science Publishers, 2008.
Znajdź pełny tekst źródłaHughston, L. P., i Matheus R. Grasselli. Finance at Fields. Singapore: World Scientific, 2013.
Znajdź pełny tekst źródłaMandler, Martin. Market expectations and option prices: Techniques and applications. Heidelberg: Physica Verlag, 2003.
Znajdź pełny tekst źródłaMandler, Martin. Market expectations and option prices: Techniques and applications. New York: Physica-Verlag, 2003.
Znajdź pełny tekst źródłaCapiński, Marek. The Black-Scholes model. New York: Cambridge University Press, 2013.
Znajdź pełny tekst źródłaChriss, Neil. Black-Scholes and beyond: Option pricing models. New York: McGraw-Hill, 1997.
Znajdź pełny tekst źródłaChriss, Neil. Black-Scholes and beyond: Option pricing models. Chicago: Irwin, 1997.
Znajdź pełny tekst źródłaCzęści książek na temat "Options (Finance) – Prices – Mathematical models"
Hobson, David. "The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices". W Paris-Princeton Lectures on Mathematical Finance 2010, 267–318. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-14660-2_4.
Pełny tekst źródłaEberlein, Ernst, Kathrin Glau i Antonis Papapantoleon. "Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models". W Advanced Mathematical Methods for Finance, 223–45. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-18412-3_8.
Pełny tekst źródłaNardon, Martina, i Paolo Pianca. "Extracting implied dividends from options prices: Some applications to the Italian derivatives market". W Mathematical and Statistical Methods for Actuarial Sciences and Finance, 315–22. Milano: Springer Milan, 2012. http://dx.doi.org/10.1007/978-88-470-2342-0_37.
Pełny tekst źródłaNardon, Martina, i Paolo Pianca. "The Effects of Curvature and Elevation of the Probability Weighting Function on Options Prices". W Mathematical and Statistical Methods for Actuarial Sciences and Finance, 149–52. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-05014-0_35.
Pełny tekst źródłaDavis, Mark H. A. "3. The classical theory of option pricing". W Mathematical Finance: A Very Short Introduction, 30–60. Oxford University Press, 2019. http://dx.doi.org/10.1093/actrade/9780198787945.003.0003.
Pełny tekst źródła"Estimation of models for stock prices". W Mathematical Finance, 168–81. Routledge, 2007. http://dx.doi.org/10.4324/9780203964729.ch9.
Pełny tekst źródła"Estimation of models for stock prices". W Mathematical Finance, 177–90. Routledge, 2007. http://dx.doi.org/10.4324/9780203964729-14.
Pełny tekst źródła"Barrier Options in the BK and Verhulst Models". W Generalized Integral Transforms in Mathematical Finance, 289–308. WORLD SCIENTIFIC, 2021. http://dx.doi.org/10.1142/9789811231742_0014.
Pełny tekst źródła"Barrier Options in the Time-Dependent CEV and CIR Models". W Generalized Integral Transforms in Mathematical Finance, 251–87. WORLD SCIENTIFIC, 2021. http://dx.doi.org/10.1142/9789811231742_0013.
Pełny tekst źródłaÖzel, Gamze. "Stochastic Processes for the Risk Management". W Handbook of Research on Behavioral Finance and Investment Strategies, 188–200. IGI Global, 2015. http://dx.doi.org/10.4018/978-1-4666-7484-4.ch011.
Pełny tekst źródłaStreszczenia konferencji na temat "Options (Finance) – Prices – Mathematical models"
Kasparinsky, Felix Osvaldovich. "Complex Indicators of the Multitrading System". W 24th Scientific Conference “Scientific Services & Internet – 2022”. Keldysh Institute of Applied Mathematics, 2022. http://dx.doi.org/10.20948/abrau-2022-14.
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