Pricing options with dual volatility input to modular neural networks
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DOI: 10.1016/j.bir.2020.03.002
Abstract: Abstract Tested is the choice of the volatility input to the artificial neural networks in the process of pricing options. Numerous studies concluded the weaknesses of Black-Scholes model use as a pricing tool in the… read more here.
Keywords: neural networks; volatility; volatility input; pricing options ... See more keywords
Pricing options on mean reverting underliers
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DOI: 10.1080/14697688.2016.1219764
Abstract: For mean reverting base probabilities, option pricing models are developed, using an explicit measure change induced by the selection of a terminal time and a terminal random variable. The models employed are the square root… read more here.
Keywords: jpm; options ratio; pricing options; reverting underliers ... See more keywords
Hydropower Pricing Options for Cross-Border Electricity Trading in China Based on Bi-Level Optimization
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DOI: 10.1109/access.2022.3196910
Abstract: Regional cross-border electricity trading is popular in price and cooperation. It is a reliable path to alleviate the shortage of power supply during rapid economic growth. As an important export commodity, the pricing options for… read more here.
Keywords: border electricity; cross border; pricing; pricing options ... See more keywords
Symmetries and exact solutions of a nonlinear pricing options equation
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DOI: 10.13108/2017-9-1-29
Abstract: We study the group structure of the Schönbucher–Wilmott equation with a free parameter, which models the pricing options. We find a five-dimensional group of equivalence transformations for this equation. By means of this group we… read more here.
Keywords: solutions nonlinear; nonlinear pricing; pricing options; symmetries exact ... See more keywords