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Pricing complexity options

Malihe Alikhani, Bjørn Kjos-Hanssen, Amirarsalan Pakravan, Babak Saadat
2015 Algorithmic Finance  
We study the price of European and American versions of this option numerically for automatic complexity, and theoretically for Kolmogorov complexity.  ...  We consider options that pay the complexity deficiency of a sequence of up and down ticks of a stock upon exercise.  ...  Let V (n) be the price of the European option paying the nondeterministic automatic complexity deficiency D(x) for the price path x of length n.  ... 
doi:10.3233/af-150050 dblp:journals/af/AlikhaniKPS15 fatcat:ipehthuoyzevziomxmrwvsy6dy

Quantum Mechanics, Path Integrals and Option Pricing: Reducing the Complexity of Finance [article]

Belal E. Baaquie, Claudio Coriano, Marakani Srikant
2002 arXiv   pre-print
After a brief overview of the connection between these fields, we illustrate some of the methods of lattice simulations of path integrals for the pricing of options.  ...  More general models, for exotic or path-dependent options are discussed.  ...  Figure 4 . 4 Plot of the option price versus the stock price obtained by a Langevin simulation of the path integral, with a potential step  ... 
arXiv:cond-mat/0208191v1 fatcat:c27zrqqhvrfozizwdcc422gncy

Regression methods for pricing complex American-style options

J.N. Tsitsiklis, B. Van Roy
2001 IEEE Transactions on Neural Networks  
We introduce and analyze a simulation-based approximate dynamic programming method for pricing complex American-style options, with a possibly high-dimensional underlying state space.  ...  Regression Methods for Pricing Complex American-Style Options John N.  ...  CONCLUSION We have introduced certain simulation-based methods, of the value iteration type, for pricing complex American-style options.  ... 
doi:10.1109/72.935083 pmid:18249905 fatcat:t6ngmlsv75elxb62uleywtbt2e

A functional approach to pricing complex barrier options

Thomas Mazzoni
2012 European Journal of Finance  
A new method for pricing contingent claims, which is particularly well suited for options with complex barrier and volatility structures, is introduced.  ...  This is not necessarily true for more complex contracts like partial barrier options with intermittent barriers.  ...  Error = 1 N N i=1 V (S i , τ ) − V BS (S i , τ ) V BS (S i , τ ) , (27) Barrier Option Test Scenarios In this section several test problems are analyzed, including barrier options with complex barrier  ... 
doi:10.1080/1351847x.2012.713174 fatcat:kznjh6mefrhn5o5v42jzubmwt4

Revisiting semidefinite programming approaches to options pricing: complexity and computational perspectives [article]

Didier Henrion and Felix Kirschner and Etienne de Klerk and Milan Korda and Jean-Bernard Lasserre and Victor Magron
2022 arXiv   pre-print
In this paper we consider the problem of finding bounds on the prices of options depending on multiple assets without assuming any underlying model on the price dynamics, but only the absence of arbitrage  ...  The framework we consider makes it possible to incorporate different kinds of observable data, such as moment information, as well as observable prices of options on the assets of interest.  ...  There is no shift of complexity to the task of finding B.  ... 
arXiv:2111.07701v3 fatcat:37j6m3jc5bddloimlulhgdot2u

On a hybrid method using trees and finite-differences for pricing options in complex models [article]

Maya Briani, Lucia Caramellino, Giulia Terenzi, Antonino Zanette
2017 arXiv   pre-print
We show that our methods allow to obtain efficient and accurate European and American option prices. Numerical experiments are provided, and show the reliability and the efficiency of the algorithms.  ...  Bates jump model with stochastic interest rate that uses a tree method in the direction of the volatility and the interest rate and a finite-difference approach in order to handle the underlying asset price  ...  Prices of European call options.  ... 
arXiv:1603.07225v3 fatcat:pzs63ua5g5hgtpwe2bkdpecwsm

Option Pricing under Two-Factor Stochastic Volatility Jump-Diffusion Model

Guohe Deng
2020 Complexity  
We derive a semianalytical formula for European vanilla option and develop a fast and accurate numerical algorithm for the computation of the option prices using the fast Fourier transform (FFT) technique  ...  option.  ...  We compute the prices for call option with T � 1 year maturity by FFT under the TSVIJ model; Complexity then, we take those prices as market prices of option and compute the implied volatilities using  ... 
doi:10.1155/2020/1960121 fatcat:x6liqrlplvczpcnraqz4onzine

The Sunk Cost and the Real Option Pricing Model

Songsong Li, Yinglong Zhang, Xuefeng Wang, Wei Zhang
2021 Complexity  
We find that the application of the Black–Scholes option pricing model will overestimate the value of real options.  ...  Second, we introduce the sunk cost into the intrinsic value function of real options and establish a new real option pricing model.  ...  Table 1 : 1 Variables between real and financial options in the B-S model. 4 Complexity Parameters Real options Financial options S e current market price of the underlying real assets e current market  ... 
doi:10.1155/2021/3626000 fatcat:bkuuu6mznvc67dbb6gwneo3ghq

Pricing Algorithms of Multivariate Path Dependent Options

Yue Kuen Kwok, Hoi Ying Wong, Ka Wo Lau
2001 Journal of Complexity  
Various techniques to reduce the complexity of the multivariate nature of these prototype option pricing models are discussed.  ...  In this paper, we examine the pricing methods of several prototype path dependent options.  ...  The complexity of the pricing methods grows with the dimensionality of the models.  ... 
doi:10.1006/jcom.2001.0594 fatcat:or7jnsojhzgc7pwhh3zdmpumr4

A survey of simulation-based methods for pricing complex American type options

Oliver Musshoff, Norbert Hirschauer
2010 Insurance Markets and Companies  
price complex American type options.  ...  It should be noted that some financial options and all real options share the common feature of complexity.  ... 
doaj:2542bf41414a401d8cad6802b2f5b21e fatcat:bnoto2lrrzhezgfuqwjgidkeb4

Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate

Yanhong Zhong, Guohe Deng
2019 Complexity  
We also provide efficient approximated approach and analyze several effects on option prices under the proposed model.  ...  and floating strike geometric Asian options.  ...  The payoffs at the expiration date for these options are as follows: Complexity 3 ℎ ( , [0, ] ) = { { { { { { { { { { { { { { { { { max { [0, ] − , where is a fixed strike price and [0, ] is the geometric  ... 
doi:10.1155/2019/4316272 fatcat:le4b4wvdpfe5disjbtyombtioi

Pricing of Embedded Options in Bank Deposits and Loans Based on Jump-Diffusion Interest Rate Model

Enlin Tang, Song Xu, Ahmed Mostafa Khalil
2021 Complexity  
Therefore, it is of great significance to identify and price such embedded option value.  ...  Based on Monte Carlo simulation technology, the embedded options of five-year fixed deposit and ten-year prepayable loan in China are priced.  ...  by inputting assumed parameters and thousands of computer simulations, then obtain the distribution of option value, and finally use the average result to calculate the price of complex options [38]  ... 
doi:10.1155/2021/9975536 fatcat:b5j77mvqkvhuzdqj532qqscmwy

American Barrier Option Pricing Formulas for Currency Model in Uncertain Environment

Rong Gao, Kaixiang Liu, Zhiguo Li, Liying Lang
2021 Journal of Systems Science and Complexity  
Option pricing problem is one of the central issue in the theory of modern finance.  ...  Most important of all, the authors deduce the formulas to price four types of American barrier options for this currency model in uncertain environment by rigorous derivation.  ...  Then the option is not free and the buyer must pay a certain amount of option fee, which creates the option pricing problem.  ... 
doi:10.1007/s11424-021-0039-y pmid:33840983 pmcid:PMC8019689 fatcat:7xv64z4wv5crvkvwrh67kzfreq

An Open Innovation Intraday Implied Volatility for Pricing Australian Dollar Options

Thi Le, Ariful Hoque, Kamrul Hassan
2021 Journal of Open Innovation: Technology, Market and Complexity  
First, a three-month maturity IV does not contain vital information for pricing options.  ...  This study introduces the intraday implied volatility (IV) for pricing the Australian dollar (AUD) options.  ...  implied in options prices [20] .  ... 
doi:10.3390/joitmc7010023 fatcat:xf7iuecdtne33ddzhf22rtipe4

Pricing of American options in discrete time using least squares estimates with complexity penalties

Michael Kohler, Adam Krzyżak
2012 Journal of Statistical Planning and Inference  
Pricing of American options in discrete time is considered, where the option is allowed to be based on several underlying stocks.  ...  Furthermore the pricing of American options is illustrated by simulated data. AMS classification: Primary 91B28, 60G40, 93E20; secondary 65C05, 93E24, 62G05.  ...  Introduction Monte Carlo methods for pricing of American options are very attractive in comparison to other methods in case of options which are based on several (correlated) stocks (socalled basket options  ... 
doi:10.1016/j.jspi.2012.02.031 fatcat:cv4yiwlmlbcm7b77hydnpgy42a
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