Exponential Ornstein-Uhlenbeck model for pricing double barrier options in uncertain environment

Behzad Abbasi; Kazem Nouri

Volume 4, Issue 2 , December 2024, , Pages 1-16

https://doi.org/10.22054/jmmf.2024.80898.1140

Abstract
  Option pricing is a fundamental issue in financial markets, and barrier options are a popular type of options that can become valuable or worthless when the underlying asset price reaches a predetermined level. A double barrier option consist two barriers, one situated above and the other below the prevailing ...  Read More

Pricing asset-or-nothing options using Haar wavelet

Saeed Vahdati; Foad Shokrollahi

Volume 4, Issue 1 , July 2024, , Pages 19-35

https://doi.org/10.22054/jmmf.2024.77996.1120

Abstract
  This article proposes a new numerical technique for pricing asset-or-nothing options using the Black-Scholes partial differential equation (PDE). We first use the θ−weighted method to discretize the time domain, and then use Haar wavelets to approximate the functions and derivatives with ...  Read More

Calibration of European option pricing model using a hybrid structure based on the optimized artificial neural network and Black-Scholes model

Farshid Mehrdoust; Maryam Noorani

Volume 4, Issue 1 , July 2024, , Pages 67-82

https://doi.org/10.22054/jmmf.2024.78910.1128

Abstract
  ‎This study suggests a novel approach for calibrating European option pricing model by a hybrid model based on the optimized artificial neural network and Black-Scholes model‎. ‎In this model‎, ‎the inputs of the artificial neural network are the Black-Scholes equations with different ...  Read More

Deep learning for option pricing under Heston and Bates models

Ali Bolfake; Seyed Nourollah Mousavi; Sima Mashayekhi

Volume 3, Issue 1 , September 2023, , Pages 67-82

https://doi.org/10.22054/jmmf.2023.73263.1085

Abstract
  This paper proposes a new approach to pricing European options using deep learning techniques under the Heston and Bates models of random fluctuations. The deep learning network is trained with eight input hyper-parameters and three hidden layers, and evaluated using mean squared error, correlation coefficient, ...  Read More

Option valuation in markets with finite liquidity under fractional CEV assets

Azadeh Ghasemifard; Seddigheh Banihashemi; Afshin Babaei

Volume 2, Issue 2 , December 2022, , Pages 167-180

https://doi.org/10.22054/jmmf.2023.15191

Abstract
  ‎The aim of this paper is to numerically price the European double barrier option by calculating the governing fractional Black-Scholes equation in illiquid markets‎. ‎Incorporating the price impact into the underlying asset dynamic‎, ‎which means that trading strategies affect the ...  Read More