Keywords: قیمت گذاری گزینه; G12; G13; G16; G22; G58; Option pricing; Time Jump processes; Exponential affine stochastic discount factor; Minimal Entropy Martingale Measure; S&P 500; CAC 40;
مقالات ISI قیمت گذاری گزینه (ترجمه نشده)
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Keywords: قیمت گذاری گزینه; C63; G13; Radial basis function; Option pricing; Black-Scholes; Heston; Barrier option; American option; Operator splitting;
Keywords: قیمت گذاری گزینه; Anomalous diffusion; Correlated continuous time random walk; Option pricing; Transaction cost
Keywords: قیمت گذاری گزینه; Stochastic volatility; Infinite activity Lévy process; Differential Evolution algorithm; Option pricing
Keywords: قیمت گذاری گزینه; Fractional stochastic volatility model; Heston model; Option pricing; Calibration; Optimization
Keywords: قیمت گذاری گزینه; Time-changed Brownian motion; First-passage probability; Default risk; Option pricing; System of integral equations; Numerical quadrature
Keywords: قیمت گذاری گزینه; G1Short sale ban; Contagion risk; Financial stability; Option pricing; Implied jump risk
Keywords: قیمت گذاری گزینه; Option pricing; Known cash dividends; Binomial trees; Convergence rates; Regime-switching models
Keywords: قیمت گذاری گزینه; C73; D81; G13Approachability; Calibration; Regret minimization; Robust optimization; Option pricing; Arbitrage bounds
Keywords: قیمت گذاری گزینه; Stochastic volatility; Volatility model; Option pricing
A multiquadric quasi-interpolations method for CEV option pricing model
Keywords: قیمت گذاری گزینه; 91G20; 91G60; 65M20; 65M15; 41A05; Multiquadric quasi-interpolations; Option pricing; CEV model; Greek letters;
Pricing European options under uncertainty with application of Levy processes and the minimal Lq equivalent martingale measure
Keywords: قیمت گذاری گزینه; 91G80; 60G51; 60H30; 03E72; Option pricing; Stochastic processes; Fuzzy set theory; Decision-making;
Deposit insurance pricing under GARCH
Keywords: قیمت گذاری گزینه; Deposit insurance; GARCH; Option pricing; Capital forbearance;
Applying Greek letters to robust option price modeling by binomial-tree
Keywords: قیمت گذاری گزینه; Greek letters; Option pricing; Binomial tree; Robust approach;
High order method for Black-Scholes PDE
Keywords: قیمت گذاری گزینه; Option pricing; Black-Scholes Formula; Compact difference scheme; Backward differentiation formula; Grid refinement method;
European quanto option pricing in presence of liquidity risk
Keywords: قیمت گذاری گزینه; Quanto options; Option pricing; Market liquidity; Liquidity discount factor;
A numerical method for pricing discrete double barrier option by Legendre multiwavelet
Keywords: قیمت گذاری گزینه; 65D15; 35E15; 46A32; Double and single barrier options; Black-Scholes model; Option pricing; Legendre multiwavelet;
The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
Keywords: قیمت گذاری گزینه; Fuzzy parameters; Option pricing; Optimal-hedging; Nonlinear fuzzy PDE;
Analytic techniques for option pricing under a hyperexponential Lévy model
Keywords: قیمت گذاری گزینه; Lévy process; Hyperexponential; Option pricing; Greeks; Implied volatility; Asymptotic expansion;
Investigation of non-Gaussian effects in the Brazilian option market
Keywords: قیمت گذاری گزینه; Option pricing; Non-Gaussian option models; Power law distribution; Exponential distribution;
SWIFT valuation of discretely monitored arithmetic Asian options
Keywords: قیمت گذاری گزینه; 60E10; 60G51; 60G52; 65T60; 65T50; Arithmetic Asian options; Fourier transform; Shannon wavelets; SWIFT method; Exponential Lévy processes; Square-root diffusions; Option pricing;
Density analysis of non-Markovian BSDEs and applications to biology and finance
Keywords: قیمت گذاری گزینه; primary; 60H10; secondary; 60H07, 91G30, 92D20; BSDEs; Malliavin calculus; Nourdin-Viens' Formula; Gene expression; Option pricing;
RBF-PU method for pricing options under the jump-diffusion model with local volatility
Keywords: قیمت گذاری گزینه; Radial basis functions; Partition of unity; Option pricing; Jump-diffusion; Merton and Kou models;
Hedging in fractional Black-Scholes model with transaction costs
Keywords: قیمت گذاری گزینه; 91G20; 91G80; 91G22; Delta-hedging; Fractional Black-Scholes model; Transaction costs; Option pricing;
Multivariate FX models with jumps: Triangles, Quantos and implied correlation
Keywords: قیمت گذاری گزینه; Option pricing; Calibration procedure; Implied correlation; Multivariate Lévy processes; Quanto products,;
High-order ADI scheme for option pricing in stochastic volatility models
Keywords: قیمت گذاری گزینه; 65M06; 91B28; Option pricing; Stochastic volatility models; Mixed derivatives; High-order ADI scheme;
Valuación de un producto estructurado de compra sobre el SX5E cuando la incertidumbre de los rendimientos está modelada con procesos log-estables
Keywords: قیمت گذاری گزینه; Bonos; Valuación de opciones; Productos estructurados; Distribuciones α-estables; Bonds; Option pricing; Structured products; α-Stable distributions; G11; G12, G13; D81; C46; G11; G12, G13; D81; C46;
Pure jump models for pricing and hedging VIX derivatives
Keywords: قیمت گذاری گزینه; VIX derivatives; 3/2 diffusion; Time change; Pure jump; Infinite activity; Option pricing; Hedging; Eigenfunction expansions;
Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing
Keywords: قیمت گذاری گزینه; primary; 60G51; 60F15; 60F17; 60F05; secondary; 60J65; 60J75; Lévy process; Variance-Gamma; Multivariate subordination; Generalised Gamma convolutions; Thorin measure; Esscher transformation; Esscher invariance; Superposition; Option pricing;
Asymptotic approach to the pricing of geometric asian options under the CEV model
Keywords: قیمت گذاری گزینه; Geometric asian option; Constant elasticity of variance; Asymptotics; Option pricing;
Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula
Keywords: قیمت گذاری گزینه; 62P05; 41A25; Bernstein's inequalities; Option pricing; Binomial model; Cox-Ross-Rubinstein formula; Black-Scholes formula; Rate of convergence;
A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE
Keywords: قیمت گذاری گزینه; CEV model; American option; Option pricing; Black–Scholes; Calibration
A practical finite difference method for the three-dimensional Black-Scholes equation
Keywords: قیمت گذاری گزینه; Option pricing; Equity-linked securities; Black-Scholes partial differential equation; Operator splitting method; Non-uniform grid;
Reduced Order Models for Pricing American Options under Stochastic Volatility and Jump-diffusion Models
Keywords: قیمت گذاری گزینه; reduced order model; option pricing; American option; linear complementary problem
A Semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump–diffusion
Keywords: قیمت گذاری گزینه; Jump–diffusion; Option pricing; Semi-Lagrangian method; Partial integro-differential equation
Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
Keywords: قیمت گذاری گزینه; Numerical analysis; Partial integro-differential equation; Option pricing; Gauss–Laguerre quadrature; Positivity
Dupire's formulas in the Piterbarg option pricing model
Keywords: قیمت گذاری گزینه; Dupire; Local volatility; Option pricing; Piterbarg;
Multi-asset Black-Scholes model as a variable second class constrained dynamical system
Keywords: قیمت گذاری گزینه; Multiasset Black-Scholes equation; Option pricing; Singular Lagrangian systems; Dirac's method; Propagators; Constrained Hamiltonian path integrals;
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
Keywords: قیمت گذاری گزینه; Option pricing; Target volatility option; Corridor variance swap; Double digital call; Wishart stochastic volatility models
A Remark on the Heat Equation with a Point Perturbation, the Feynman–Kac Formula with Local Time and Derivative Pricing
Keywords: قیمت گذاری گزینه; point interactions; heat equation; heat kernel; Feynman–Kac formula; Brownian motion; local time; option pricing; Black–Scholes equation35K05; 35K08; 35Q79; 35R06; 47D06; 47D07; 47D08; 47N30; 80A20; 91G20; 91G80
Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
Keywords: قیمت گذاری گزینه; Fixed-rate mortgages; Jump-diffusion models; Option pricing; Complementarity problem; Numerical methods; Augmented Lagrangian Active Set formulation
Option pricing and portfolio hedging under the mixed hedging strategy
Keywords: قیمت گذاری گزینه; Residual risk; Scaling; Option pricing; Portfolio hedging; Trade frequency; Mixed hedging strategy
Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley
Keywords: قیمت گذاری گزینه; G13; C63; C02; G17; CEV model; American option; Barone-Adesi and Whaley; Free boundary; Option pricing;
Option pricing with asymmetric heteroskedastic normal mixture models
Keywords: قیمت گذاری گزینه; Asymmetric heteroskedastic models; Finite mixture models; Option pricing; Out-of-sample prediction; Statistical fit;
Quintic B-spline collocation approach for solving generalized Black–Scholes equation governing option pricing
Keywords: قیمت گذاری گزینه; Option pricing; Generalized Black–Scholes equation; Collocation; Quintic B-spline; Stability; Convergence
Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
Keywords: قیمت گذاری گزینه; Option pricing; American option; Meshless weak form; LBIE; MLS; LRPI; Richardson extrapolation; BCGSTAB; Stability analysis;
Pricing approximations and error estimates for local Lévy-type models with default
Keywords: قیمت گذاری گزینه; Partial integro-differential equation; Asymptotic expansion; Pseudo-differential calculus; Option pricing; Lévy-type process; Defaultable asset;
Investor attention and FX market volatility
Keywords: قیمت گذاری گزینه; G12; G14; Investor attention; FX volatility; Option pricing; GARCH;
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Keywords: قیمت گذاری گزینه; C32; C51; G13; Multivariate stochastic volatility; Wishart process; Leverage effects; Feedback effects; Multifactor model; Option pricing;
Pricing perpetual American CatEPut options when stock prices are correlated with catastrophe losses
Keywords: قیمت گذاری گزینه; Catastrophe equity put option; Bivariate exponential distribution; Option pricing;