Spread Option Pricing Method Based on Nonparametric Predictive Inference Copula
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DOI: 10.1002/for.3262
Abstract: This paper introduces a novel spread option pricing model, the nonparametric predictive inference–based copula spread option model (NPIC‐SOM), designed to evaluate the interdependence of multiple underlying assets. Through empirical analysis focused on Brent‐WTI spread options,… read more here.
Keywords: spread option; option pricing; npic som; option ... See more keywords
Option Pricing with Threshold Mean Reversion
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DOI: 10.1002/fut.21795
Abstract: Mean reversion and regime switching are well-known features of commodity prices. Recent empirical research additionally documents the time variation of the mean reversion rate and volatility. This paper considers the option pricing framework for an… read more here.
Keywords: option pricing; regime switching; mean reversion; reversion ... See more keywords
Wavelet‐Based L2$$ L2 $$‐1σ$$ {1}_{\sigma } $$ Scheme and Its Higher Order Convergence Analysis for Time‐Fractional Option Pricing Model Under Jump‐Diffusion
Sign Up to like & getrecommendations! Published in 2025 at "Mathematical Methods in the Applied Sciences"
DOI: 10.1002/mma.70290
Abstract: This paper introduces a novel numerical methodology employing wavelet‐based ‐ discretization and its higher order convergence analysis to address the time‐fractional Black‐Scholes model within a jump‐diffusion framework, specifically in the context of pricing European options.… read more here.
Keywords: time fractional; jump diffusion; option pricing; time ... See more keywords
Additive logistic processes in option pricing
Sign Up to like & getrecommendations! Published in 2021 at "Finance and Stochastics"
DOI: 10.1007/s00780-021-00461-8
Abstract: In option pricing, it is customary to first specify a stochastic underlying model and then extract valuation equations from it. However, it is possible to reverse this paradigm: starting from an arbitrage-free option valuation formula,… read more here.
Keywords: logistic processes; option; additive logistic; option pricing ... See more keywords
Option pricing in an exponential MixedTS Lévy process
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DOI: 10.1007/s10479-016-2180-x
Abstract: In this paper we present an option pricing model based on the assumption that the underlying asset price is an exponential Mixed Tempered Stable Lévy process. We also introduce a new R package called PricingMixedTS… read more here.
Keywords: mixedts process; option; exponential mixedts; pricing exponential ... See more keywords
Alternatives to classical option pricing
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DOI: 10.1007/s10479-024-06213-z
Abstract: We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this approach and illustrate it with two specific examples. The second approach… read more here.
Keywords: document; asset; usepackage; approach ... See more keywords
A Numerical Method to Approximate Multi-Asset Option Pricing Under Exponential Lévy Model
Sign Up to like & getrecommendations! Published in 2017 at "Computational Economics"
DOI: 10.1007/s10614-016-9605-0
Abstract: In this paper, a modification of the original global radial basis functions-based differential quadrature (RBF-DQ) method is set forth and analyzed. The improved RBF-DQ method is applicable to the numerical approximation of solutions of a… read more here.
Keywords: option pricing; multi asset; asset option; method ... See more keywords
Dark wave, rogue wave and perturbation solutions of Ivancevic option pricing model
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DOI: 10.1007/s11071-021-06642-6
Abstract: Under investigation in this paper is the Ivancevic option pricing model. Based on trial function method, rogue wave and dark wave solutions are constructed. By means of symbolic computation, these analytical solutions are obtained with… read more here.
Keywords: pricing model; ivancevic option; option pricing;
Option-implied filtering: evidence from the GARCH option pricing model
Sign Up to like & getrecommendations! Published in 2019 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-019-00816-5
Abstract: One crucial task of option price modeling is to estimate latent state variables. This paper emphasizes the importance of incorporating option implied information to update latent state variables and sheds light on numerical developments to… read more here.
Keywords: implied filtering; model; option pricing; option ... See more keywords
Lewis Model Revisited: Option Pricing with Lévy Processes
Sign Up to like & getrecommendations! Published in 2020 at "Bulletin of the Malaysian Mathematical Sciences Society"
DOI: 10.1007/s40840-020-01025-3
Abstract: This paper aims to discuss the mathematical details in Lewis’ model by considering the analyticity and integrability conditions of characteristic functions and payoff functions of contingent claims. In his seminal paper, Lewis shows that it… read more here.
Keywords: lewis model; model; model revisited; option pricing ... See more keywords
Option Pricing Under Time-Varying Risk-Aversion with Applications to Risk Forecasting
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Banking and Finance"
DOI: 10.1016/j.jbankfin.2016.11.006
Abstract: We present a two-factor option-pricing model, which parsimoniously captures the difference in volatility persistences under the historical and risk-neutral probabilities. The model generates an S-shaped pricing kernel that exhibits time-varying risk aversion. We apply our… read more here.
Keywords: varying risk; risk; risk aversion; time varying ... See more keywords