Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4960759 | Procedia Computer Science | 2017 | 6 Pages |
The importance of derivatives in financial markets has known an exponential growth in the last decades, especially in risk management and speculation fields: this explains researchers' interest in answering questions about this kind of contracts. In particular, in this paper we restrict our attention on European vanilla and barrier options, and we propose a statistical procedure to solve efficiently the problem of determining the no arbitrage price of this type of derivatives in an IoT context: starting form an Internet of Things (IoT) data flow, an IoT system takes information from several sources and stores it into a suitable database; this information is used in our estimation problem. Our scheme is based on some strong assumptions about the market model, in particular the completeness of the market, the log-normality of the underlying asset with a constant volatility.We conclude this paper with an application of our framework to a real case.