Research Article
Behzad Abbasi; Kazem Nouri
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 ...
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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 stock price. This particular option is categorized as path dependent because the return for the holder is influenced by the stock price’s breach of the two barriers. The double barrier option contract stipulates three specific payoffs, depending on whether the up-barrier or down-barrier is touched, or if there is no breach of either barrier during the entire duration of the option. In this paper, pricing of the double barrier options when the underlying asset price follows the exponential Ornstein- Uhlenbeck model is investigated, and also pricing formulas for different types of double barrier options (knock-in and knock-out) are derived by α-paths of uncertain differential equations in the uncertain environment.
Research Article
Kimiya Tavakoli; Abdolsadeh Neisy; Alireza Zamanpour
Abstract
Modeling and pricing European options are crucial tasks for financial companies seeking to determine the fair value of these instruments. Conventional methods, such as using Black-Scholes partial differential equations (PDEs), face challenges due to the high complexity involved and lack of data. To address ...
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Modeling and pricing European options are crucial tasks for financial companies seeking to determine the fair value of these instruments. Conventional methods, such as using Black-Scholes partial differential equations (PDEs), face challenges due to the high complexity involved and lack of data. To address these challenges, PINNs have recently emerged as a promising approach to solving the Black-Scholes PDEs for European options. In this paper, we tackle the two-dimensional Black-Scholes model to determine the price of a European exchange option. We employ a kind of ANNs (PINN) that is specifically designed to learn the option’s value by minimizing an appropriately defined loss function. The data for our study were generated through simulations conducted in Python. Our results demonstrate the efficacy of the PINN approach by comparing the computed fair value of a European exchange option with the traditional solutions. The findings underscore the potential of PINNs in providing accurate and efficient pricing for complex financial derivatives.
Research Article
Abbas Raad; Reza Ofoghi; Ghadir Mahdavi
Abstract
This study aims to examine the function of blockchain technology to detect fraud in healthcare insurance. we consider the literature on fraud in healthcare insurance, blockchain, and smart contracts to to test a newly structured software system based on blockchain technology for this purpose. Different ...
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This study aims to examine the function of blockchain technology to detect fraud in healthcare insurance. we consider the literature on fraud in healthcare insurance, blockchain, and smart contracts to to test a newly structured software system based on blockchain technology for this purpose. Different blockchain platforms, consensus algorithms, and structures have been used to pick the proposed system’s best structure based on blockchain. Eventually, the best techniques to put the system to the test and evaluate the findings were assessed. we propose a standardized system, where blockchain is applied to store data and smart contracts are used to automate insurance policies. Furthermore, a web-based application, which acts as core insurance software, is proposed for all stakeholders to communicate with the blockchain and smart contracts. Therefore, the proposed system comprises a blockchain, web app, and standardized smart contracts. The proposed system mainly focuses on fraud detection in insurance claims while maintaining a standard data storage and transfer structure. The system proved to be thriving once claim data can be created, read, and analyzed (i.e. fraudulent data are caught) effectively in a standard way. The web app consists of a front-end and back-end section. The front-end enables users to interact with the proposed system, and the back-end allows the insurance company to store records on the blockchain and increase the chances of detecting fraud in insurance claims, especially Digital Insurance Claims. Finally, a blockchain-based web application that can be used as core insurance software for any healthcare insurance company is proposed.