Option pricing by mathematical programming†
نویسندگان
چکیده
منابع مشابه
Programming Option Pricing Financial Models with Ct
Option pricing and risk assessment are important techniques in modern financial engineering. Increasingly, financial engineers are exploring how to implement computation-intensive option pricing models efficiently on evolving modern architectures. This application note describes how to use the Ct programming model to implement several option pricing models—namely, the Black-Scholes, Binomial Tr...
متن کاملMathematical programming approaches to pricing problems
There are many real cases where a company needs to determine the price of its products so as to maximise its revenue or profit. To do so, the company must consider customers’ reactions to these prices, as they may refuse to buy a given product or service if its price is too high. This is commonly known in literature as a pricing problem. This class of problems, which is typically bilevel, was f...
متن کاملNonparametric Option Pricing by Transformation
This paper develops a nonparametric option pricing theory and numerical method for European, American and path-dependent derivatives. In contrast to the nonparametric curve fitting techniques commonly seen in the literature, this nonparametric pricing theory is more in line with the canonical valuation method developed Stutzer (1996) for pricing options with only a sample of asset returns. Unli...
متن کاملMathematical analysis and pricing of the European continuous installment call option
In this paper we consider the European continuous installment call option. Then its linear complementarity formulation is given. Writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. Finally finite element method is applied to price the European continuous installment call option.
متن کاملGenetic Programming with Monte Carlo Simulation for Option Pricing
I examine the role of programming parameters in determining the accuracy of Genetic Programming for option pricing. I use Monte Carlo simulations to generate stock and option price data needed to develop a Genetic Option Pricing Program. I simulate data for two different stock price processes – a Geometric Brownian process and a JumpDiffusion process. In the jump-diffusion setting, I seed the G...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Optimization
سال: 2008
ISSN: 0233-1934,1029-4945
DOI: 10.1080/02331930701779054