Report on the Paper titled “Calibrating Option Pricing Models with Heuristics”
نویسندگان
چکیده
منابع مشابه
Option Pricing on Commodity Prices Using Jump Diffusion Models
In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...
متن کاملoption pricing models
this paper is a translation of a chapter of the hook written by jonathan e. ingersoll jr. the farsi translation will he of great help to iranian students studying option pricing models.
متن کاملProgramming 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 کاملd - dimensional option pricing models
We study the approximation of certain stochastic integrals with respect to a d-dimensional diffusion by corresponding stochastic integrals with piece-wise constant inte-grands i.e. an approximation of the form d k=1 T 0 N k s dX k s ≈ d k=1 n i=1 N k t i−1 (X k t i − X k t i−1). In finance this corresponds to replacing a continuously adjusted portfolio by discretely adjusted one. The approximat...
متن کاملNon-parametric option pricing models
The goal of non-parametric option pricing models is to price and risk mange financial derivatives in a model-free approach. Standard option pricing models need to assume a certain dynamics for the underlying. Model parameters are calibrated (or bootstrapped) to match certain conditions. These can be an exact fit to some market instruments whenever possible, a best fit otherwise, or some risk mi...
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: Advances in economics, business and management research
سال: 2022
ISSN: ['2352-5428']
DOI: https://doi.org/10.2991/aebmr.k.220307.191