A theoretical value is the estimated price of an option. There are several models for calculating a theoretical value, but the...
where, fixing the normalization T=1, formula (23) indeed recovers the constant σ in (24). Going beyond Black–Scholes, consider a price process of the form Pt=P0exp(∫0tσudWu) (25) where (σt)t≥0 is an arbitrary stochastic process (satisfying suitable regularity conditions). ...
(p q) process is transformed to an new MA process the new MA parameters of which depends on the origin AR and MA parameter The pricing formula of ARMA-type option is similar to that of Black and Scholes (1973) except for the volatility depending on the AR and MA parameters For pri...
The formula for calculating the comprehensive score is as follows: 𝑍=𝑘1𝐹1+𝑘2𝐹2+⋯+𝑘𝑛𝐹𝑛Z=k1F1+k2F2+⋯+knFn (3) where Z is the comprehensive score; 𝑘1k1, 𝑘2k2… 𝑘𝑛kn is the contribution rate of each principal component; 𝐹1F1, 𝐹2F2… ...