The goal of present experiments is to investigate the use of multiple kernel learning as a tool for pricing options in the context of Indian stock market for Nifty index options. In this paper, fair price of an option is predicted by Multiple Kernel Support Vector Regression (MKLSVR) using linear combinations of kernels and Single Kernel Support Vector Regression (SKSVR). Prices of option highl...

Incentive options are held bymanagers and employees who invariably hold undiversified portfolios with substantial amounts invested in their own company’s common stock. This lack of diversification makes the subjective value of incentive items such as options less than their market value. This paper derives a model for the marginal value of such options or other incentive items. As such, it can ...

The Quanto option is a cash-settled, cross-currency derivative in which the underlying asset has a payoff in one country, but the payoff is converted to another currency in which the option is settled. Thus, the correlation between the underlying asset and currency exchange rate plays an important role on pricing such options. Market observations give clear evidence that financial quantities ar...

We propose a new method to compute option prices based on GARCH models. In an incomplete market framework, we allow for the volatility of asset return to differ from the volatility of the pricing process and obtain adequate pricing results. We investigate the pricing performance of this approach over short and long time horizons by calibrating theoretical option prices under the Asymmetric GARC...

A number of recent papers find that the volatility implied by index option prices significantly overstates future stock market volatility. We investigate whether this bias is purely due to measurement error and model misspecification, or whether the bias is also apparent in option market prices. We accomplish this by examining the profits for trading strategies designed to exploit the apparent ...

BACKGROUND The debate on US healthcare reform has largely focused on the introduction of a public health plan option. While supporters stress various beneficial effects that would arise from increased competition in the health insurance market, opponents often contend that a public plan would drive insurers out of the market and potentially lead to the 'collapse' of the private health insurance...