Fast and accurate calculation of American option prices
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DOI: 10.1007/s10203-018-0224-1
Abstract: We propose a very efficient numerical method to solve a nonlinear partial differential problem that is encountered in the pricing of American options. In particular, by using the front-fixing approach originally developed in Wu and… read more here.
Keywords: fast accurate; finance; calculation american; option prices ... See more keywords
Forecasting the volatility of asset returns: The informational gains from option prices
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DOI: 10.1016/j.ijforecast.2020.09.012
Abstract: Abstract A new class of forecasting models is proposed that extends the realized GARCH class of models through the inclusion of option prices to forecast the variance of asset returns. The VIX is used to… read more here.
Keywords: option prices; asset returns; variance; forecasting ... See more keywords
An Intelligent Learning and Ensembling Framework for Predicting Option Prices
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DOI: 10.1080/1540496x.2019.1695598
Abstract: ABSTRACT Estimating option prices and implied volatilities are critical for option risk management and trading. Common strategies in previous studies have relied on parametric models, including the stochastic volatility model (SV), jump-diffusion model (JD), and… read more here.
Keywords: option prices; model; intelligent learning; option ... See more keywords
Approximation Formula for Option Prices under Rough Heston Model and Short-Time Implied Volatility Behavior
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DOI: 10.3390/sym12111878
Abstract: Rough Heston model possesses some stylized facts that can be used to describe the stock market, i.e., markets are highly endogenous, no statistical arbitrage mechanism, liquidity asymmetry for buy and sell order, and the presence… read more here.
Keywords: option prices; implied volatility; option; rough heston ... See more keywords