Volume 4 (2024)
Volume 3 (2023)
Volume 2 (2022)
Volume 1 (2021)
Keywords = Option pricing
Number of Articles: 5
Exponential Ornstein-Uhlenbeck model for pricing double barrier options in uncertain environment
Volume 4, Issue 2 , December 2024, , Pages 1-16
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 MorePricing asset-or-nothing options using Haar wavelet
Volume 4, Issue 1 , July 2024, , Pages 19-35
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 MoreCalibration of European option pricing model using a hybrid structure based on the optimized artificial neural network and Black-Scholes model
Volume 4, Issue 1 , July 2024, , Pages 67-82
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 MoreDeep learning for option pricing under Heston and Bates models
Volume 3, Issue 1 , September 2023, , Pages 67-82
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 MoreOption valuation in markets with finite liquidity under fractional CEV assets
Volume 2, Issue 2 , December 2022, , Pages 167-180