Статті в журналах з теми "Options (Finance) – Prices – Mathematical models"
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Abraham, Rebecca, and 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, no. 12 (December 8, 2022): 591. http://dx.doi.org/10.3390/jrfm15120591.
Повний текст джерелаCARMONA, RENÉ, and SERGEY NADTOCHIY. "TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION." International Journal of Theoretical and Applied Finance 14, no. 01 (February 2011): 107–35. http://dx.doi.org/10.1142/s0219024911006280.
Повний текст джерелаKumar Jaiswal, Jitendra, and Raja Das. "Artificial Neural Network Algorithms based Nonlinear Data Analysis for Forecasting in the Finance Sector." International Journal of Engineering & Technology 7, no. 4.10 (October 2, 2018): 169. http://dx.doi.org/10.14419/ijet.v7i4.10.20829.
Повний текст джерелаEissa, Mahmoud A., and M. Elsayed. "Improve Stock Price Model-Based Stochastic Pantograph Differential Equation." Symmetry 14, no. 7 (July 1, 2022): 1358. http://dx.doi.org/10.3390/sym14071358.
Повний текст джерелаFernández, Lexuri, Peter Hieber, and Matthias Scherer. "Double-barrier first-passage times of jump-diffusion processes." mcma 19, no. 2 (July 1, 2013): 107–41. http://dx.doi.org/10.1515/mcma-2013-0005.
Повний текст джерелаAghabeygi, Mona, Kamel Louhichi, and 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, no. 1 (July 20, 2022): 55–73. http://dx.doi.org/10.36253/bae-10981.
Повний текст джерелаGiribone, Pier Giuseppe, and Roberto Revetria. "Certificate pricing using Discrete Event Simulations and System Dynamics theory." Risk Management Magazine 16, no. 2 (August 18, 2021): 75–93. http://dx.doi.org/10.47473/2020rmm0092.
Повний текст джерелаNguyen, Ngoc Quynh Anh, and Thi Ngoc Trang Nguyen. "Risk measures computation by Fourier inversion." Journal of Risk Finance 18, no. 1 (January 16, 2017): 76–87. http://dx.doi.org/10.1108/jrf-03-2016-0034.
Повний текст джерелаMadan, Dilip B., and King Wang. "Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models." Applied Mathematical Finance 28, no. 3 (May 4, 2021): 201–35. http://dx.doi.org/10.1080/1350486x.2021.2007145.
Повний текст джерелаSKIADOPOULOS, GEORGE. "VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY." International Journal of Theoretical and Applied Finance 04, no. 03 (June 2001): 403–37. http://dx.doi.org/10.1142/s021902490100105x.
Повний текст джерелаEkström, Erik, and Johan Tysk. "PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS." Mathematical Finance 17, no. 3 (July 2007): 381–97. http://dx.doi.org/10.1111/j.1467-9965.2007.00308.x.
Повний текст джерелаLORENZO, MERCURI. "PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS." International Journal of Theoretical and Applied Finance 14, no. 02 (March 2011): 313–33. http://dx.doi.org/10.1142/s0219024911006371.
Повний текст джерелаMERINO, R., J. POSPÍŠIL, T. SOBOTKA, and J. VIVES. "DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS." International Journal of Theoretical and Applied Finance 21, no. 08 (December 2018): 1850052. http://dx.doi.org/10.1142/s0219024918500528.
Повний текст джерелаERIKSSON, JONATAN. "MONOTONICITY IN THE VOLATILITY OF SINGLE-BARRIER OPTION PRICES." International Journal of Theoretical and Applied Finance 09, no. 06 (September 2006): 987–96. http://dx.doi.org/10.1142/s0219024906003822.
Повний текст джерелаHenderson, Vicky. "ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS." Mathematical Finance 15, no. 1 (January 2005): 49–59. http://dx.doi.org/10.1111/j.0960-1627.2005.00210.x.
Повний текст джерелаSCHOUTENS, WIM, and STIJN SYMENS. "THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY." International Journal of Theoretical and Applied Finance 06, no. 08 (December 2003): 839–64. http://dx.doi.org/10.1142/s0219024903002249.
Повний текст джерелаTAKAHASHI, AKIHIKO, and KOHTA TAKEHARA. "FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS." International Journal of Theoretical and Applied Finance 11, no. 04 (June 2008): 381–401. http://dx.doi.org/10.1142/s0219024908004853.
Повний текст джерелаBENTH, FRED ESPEN, and RODWELL KUFAKUNESU. "PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS." International Journal of Theoretical and Applied Finance 12, no. 04 (June 2009): 491–506. http://dx.doi.org/10.1142/s0219024909005324.
Повний текст джерелаEKSTRÖM, ERIK, and JOHAN TYSK. "OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS." International Journal of Theoretical and Applied Finance 07, no. 07 (November 2004): 901–7. http://dx.doi.org/10.1142/s0219024904002694.
Повний текст джерелаBIELECKI, TOMASZ R., IGOR CIALENCO, ISMAIL IYIGUNLER, and RODRIGO RODRIGUEZ. "DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES." International Journal of Theoretical and Applied Finance 16, no. 01 (February 2013): 1350002. http://dx.doi.org/10.1142/s0219024913500027.
Повний текст джерелаGAPEEV, PAVEL V., and MONIQUE JEANBLANC. "FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS." International Journal of Theoretical and Applied Finance 24, no. 04 (June 2021): 2150022. http://dx.doi.org/10.1142/s0219024921500229.
Повний текст джерелаTENG, LONG, MATTHIAS EHRHARDT, and MICHAEL GÜNTHER. "QUANTO PRICING IN STOCHASTIC CORRELATION MODELS." International Journal of Theoretical and Applied Finance 21, no. 05 (August 2018): 1850038. http://dx.doi.org/10.1142/s0219024918500383.
Повний текст джерелаLI, MINQIANG, and FABIO MERCURIO. "CLOSED-FORM APPROXIMATION OF PERPETUAL TIMER OPTION PRICES." International Journal of Theoretical and Applied Finance 17, no. 04 (June 2014): 1450026. http://dx.doi.org/10.1142/s0219024914500265.
Повний текст джерелаMARABEL, JACINTO. "PRICING DIGITAL OUTPERFORMANCE OPTIONS WITH UNCERTAIN CORRELATION." International Journal of Theoretical and Applied Finance 14, no. 05 (August 2011): 709–22. http://dx.doi.org/10.1142/s0219024911006425.
Повний текст джерелаALÒS, E., F. ANTONELLI, A. RAMPONI, and S. SCARLATTI. "CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS." International Journal of Theoretical and Applied Finance 24, no. 02 (March 2021): 2150010. http://dx.doi.org/10.1142/s0219024921500102.
Повний текст джерелаBOSSENS, FRÉDÉRIC, GRÉGORY RAYÉE, NIKOS S. SKANTZOS, and GRISELDA DEELSTRA. "VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE." International Journal of Theoretical and Applied Finance 13, no. 08 (December 2010): 1293–324. http://dx.doi.org/10.1142/s0219024910006212.
Повний текст джерелаDIA, BAYE M. "A REGULARIZED FOURIER TRANSFORM APPROACH FOR VALUING OPTIONS UNDER STOCHASTIC DIVIDEND YIELDS." International Journal of Theoretical and Applied Finance 13, no. 02 (March 2010): 211–40. http://dx.doi.org/10.1142/s0219024910005747.
Повний текст джерелаMaller, Ross A., David H. Solomon, and Alex Szimayer. "A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS." Mathematical Finance 16, no. 4 (September 1, 2006): 613–33. http://dx.doi.org/10.1111/j.1467-9965.2006.00286.x.
Повний текст джерелаYu, Cindy L., Haitao Li, and Martin T. Wells. "MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES." Mathematical Finance 21, no. 3 (October 19, 2010): 383–422. http://dx.doi.org/10.1111/j.1467-9965.2010.00439.x.
Повний текст джерелаVON HAMMERSTEIN, ERNST AUGUST, EVA LÜTKEBOHMERT, LUDGER RÜSCHENDORF, and VIKTOR WOLF. "OPTIMALITY OF PAYOFFS IN LÉVY MODELS." International Journal of Theoretical and Applied Finance 17, no. 06 (September 2014): 1450041. http://dx.doi.org/10.1142/s0219024914500411.
Повний текст джерелаERIKSSON, BJORN, and MARTIJN PISTORIUS. "METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS." International Journal of Theoretical and Applied Finance 14, no. 07 (November 2011): 1139–58. http://dx.doi.org/10.1142/s0219024911006644.
Повний текст джерелаBELOMESTNY, DENIS, ANASTASIA KOLODKO, and JOHN SCHOENMAKERS. "PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL." International Journal of Theoretical and Applied Finance 13, no. 01 (February 2010): 45–62. http://dx.doi.org/10.1142/s021902491000567x.
Повний текст джерелаLindström, Erik. "Implications of Parameter Uncertainty on Option Prices." Advances in Decision Sciences 2010 (May 5, 2010): 1–15. http://dx.doi.org/10.1155/2010/598103.
Повний текст джерелаPELLEGRINO, TOMMASO. "SECOND-ORDER STOCHASTIC VOLATILITY ASYMPTOTICS AND THE PRICING OF FOREIGN EXCHANGE DERIVATIVES." International Journal of Theoretical and Applied Finance 23, no. 03 (May 2020): 2050021. http://dx.doi.org/10.1142/s0219024920500211.
Повний текст джерелаLi, Yu. "A mean bound financial model and options pricing." International Journal of Financial Engineering 04, no. 04 (December 2017): 1750047. http://dx.doi.org/10.1142/s2424786317500475.
Повний текст джерелаDerman, Emanuel, and Iraj Kani. "Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility." International Journal of Theoretical and Applied Finance 01, no. 01 (January 1998): 61–110. http://dx.doi.org/10.1142/s0219024998000059.
Повний текст джерелаFUNAHASHI, HIDEHARU. "REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS." International Journal of Theoretical and Applied Finance 24, no. 03 (May 2021): 2150014. http://dx.doi.org/10.1142/s021902492150014x.
Повний текст джерелаLiu, David, and An Wei. "Regulated LSTM Artificial Neural Networks for Option Risks." FinTech 1, no. 2 (June 2, 2022): 180–90. http://dx.doi.org/10.3390/fintech1020014.
Повний текст джерелаCHANG, CHIA-LIN, SHING-YANG HU, and SHIH-TI YU. "RECENT DEVELOPMENTS IN QUANTITATIVE FINANCE: AN OVERVIEW." Annals of Financial Economics 09, no. 02 (September 2014): 1402002. http://dx.doi.org/10.1142/s2010495214020023.
Повний текст джерелаPAGLIARANI, STEFANO, and ANDREA PASCUCCI. "LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS." International Journal of Theoretical and Applied Finance 16, no. 08 (December 2013): 1350050. http://dx.doi.org/10.1142/s0219024913500507.
Повний текст джерелаMERINO, RAÚL, JAN POSPÍŠIL, TOMÁŠ SOBOTKA, TOMMI SOTTINEN, and JOSEP VIVES. "DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS." International Journal of Theoretical and Applied Finance 24, no. 02 (March 2021): 2150008. http://dx.doi.org/10.1142/s0219024921500084.
Повний текст джерелаWang, Xingchun. "Valuation of options on the maximum of two prices with default risk under GARCH models." North American Journal of Economics and Finance 57 (July 2021): 101422. http://dx.doi.org/10.1016/j.najef.2021.101422.
Повний текст джерелаCarr, Peter, Andrey Itkin, and Dmitry Muravey. "Semi-Closed Form Prices of Barrier Options in the Time-Dependent CEV and CIR Models." Journal of Derivatives 28, no. 1 (July 10, 2020): 26–50. http://dx.doi.org/10.3905/jod.2020.1.113.
Повний текст джерелаSingh, Vipul Kumar. "Pricing competitiveness of jump-diffusion option pricing models: evidence from recent financial upheavals." Studies in Economics and Finance 32, no. 3 (August 3, 2015): 357–78. http://dx.doi.org/10.1108/sef-08-2012-0099.
Повний текст джерелаSIDENIUS, JAKOB, VLADIMIR PITERBARG, and LEIF ANDERSEN. "A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING." International Journal of Theoretical and Applied Finance 11, no. 02 (March 2008): 163–97. http://dx.doi.org/10.1142/s0219024908004762.
Повний текст джерелаCUTHBERTSON, CHARLES, GRIGORIOS PAVLIOTIS, AVRAAM RAFAILIDIS, and PETTER WIBERG. "ASYMPTOTIC ANALYSIS FOR FOREIGN EXCHANGE DERIVATIVES WITH STOCHASTIC VOLATILITY." International Journal of Theoretical and Applied Finance 13, no. 07 (November 2010): 1131–47. http://dx.doi.org/10.1142/s0219024910006145.
Повний текст джерелаVedran Uran. "THE PRINCIPLE OF EXERCISING OPTIONS ON THE ELECTRICITY MARKET." Journal of Energy - Energija 56, no. 1 (November 14, 2022): 114–33. http://dx.doi.org/10.37798/2007561349.
Повний текст джерелаLO, HARRY, and ALEKSANDAR MIJATOVIĆ. "VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS." International Journal of Theoretical and Applied Finance 14, no. 07 (November 2011): 1159–93. http://dx.doi.org/10.1142/s0219024911006656.
Повний текст джерелаMADAN, DILIP B., and KING WANG. "OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES." International Journal of Theoretical and Applied Finance 24, no. 05 (August 2021): 2150030. http://dx.doi.org/10.1142/s0219024921500308.
Повний текст джерелаLee, C. F., Ta-Peng Wu, and Ren-Raw Chen. "The Constant Elasticity of Variance Models: New Evidence from S&P 500 Index Options." Review of Pacific Basin Financial Markets and Policies 07, no. 02 (June 2004): 173–90. http://dx.doi.org/10.1142/s021909150400010x.
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