Option pricing modelMonte Carlo pricing methodRenewable energy price index option contractAs a result of rapid socioeconomic development, the world is facing the simultaneous challenges of environmental pollution and resource depletion. How to promote the development of renewable, non-polluting energy is ...
probability measure ambiguitypricing kernelequivalent martingale measurecall-put parityambiguity premiumvolatility smileThis paper develops an option pricing model that admits probability measure ambiguity. It formulates a piecewise risk-ambiguity-neutral probability density funcLiu, Yu...
This paper proposes an option pricing model, extended from the GARCH option pricing model of Duan (1995) and the Threshold-GARCH model of Hardle and Hafner (2000). Some moment properties of the proposed model are analytically proven. For simplicity or flexibility, the risk-free rate of return...
An Empirical Examination of the Black‐Scholes Call Option Pricing Model THIS STUDY IS A descriptive analysis of how market prices of call options compare with prices predicted by the Black and Scholes [2], B-S, option pricing m... JD Macbeth,LJ Merville - 《Journal of Finance》 被引量:...
Most option pricing models have generally assumed that volatility depended on time and the price of the underlyin... Charles E Erivona 被引量: 0发表: 1995年 An empirical investigation of the GARCH option pricing model: Hedging performance In this article, we study the empirical performance of ...
Advances in Social Science, Education and Humanities Research, volume 543 Proceedings of the 2021 6th International Conference on Social Sciences and Economic Development (ICSSED 2021) Transaction Costs in Option Pricing: An Extension Model Yunze Dong1,a 1School of Accounting and Finance, University ...
and option hedging for optimalpricing.Wüthrich (2018)applied a neural network to the chain–ladder reserving model to analyze the reserve of a single debt and capture the ever-changing portfolio of investment portfolios. Although machine learning has advantages in factor modeling, derivative pricing,...
I think a great example of a competitive pricing model is Amazon. The company uses automated repricing tools that constantly monitor competitor prices and adjust their prices accordingly. This strategy ensures Amazon’s prices are always competitive, often making them the lowest-priced option in the...
Many option pricing models are based on the assumption that the underlying asset price follows one-dimensional diffusion process. An alternative approach is to test the properties that should hold for all models based on a given stochastic process for the underlying asset. Following Pérignon (2006)...
To be more specific, in arbitrage models, to deviate from the equilibrium model’s results one has to assume that all investors are either strongly irrational or inefficient. Let us elaborate with an illustration of the Black and Scholes (1973) option pricing model, which is derived using “...