Analysis of net asset value prediction using low complexity neural network with various expansion techniques
Sign Up to like & getrecommendations! Published in 2021 at "Evolutionary Intelligence"
DOI: 10.1007/s12065-020-00365-0
Abstract: Net asset value (NAV) is a crucial measure that reveals the financial condition of a mutual fund and its prediction becomes important in decision making especially for fund managers. For this purpose, several works have… read more here.
Keywords: asset value; net asset; prediction; expansion ... See more keywords
Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Industrial and Management Optimization"
DOI: 10.3934/jimo.2021057
Abstract: In this paper, we propose a model to price vulnerable European options where the dynamics of the underlying asset value and the counter-party's asset value follow two jump-diffusion processes with fast mean-reverting stochastic volatility. First,… read more here.
Keywords: pricing; asset value; volatility; fast mean ... See more keywords