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Author : Hui Chen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Deep Structural Estimation: with an Application to Option Pricing written by Hui Chen and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alan White
Publisher : Routledge
ISBN 13 : 113568782X
Total Pages : 225 pages
Book Rating : 4.1/5 (356 download)
Download or read book Pricing Options with Futures-Style Margining written by Alan White and published by Routledge. This book was released on 2014-02-04 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the applicability of a relatively new and powerful tool, genetic adaptive neural networks, to the field of option valuation. A genetic adaptive neural network model is developed to price option contracts with futures-style margining. This model is capable of estimating complex, non-linear relationships without having prior knowledge of the specific nature of the relationships. Traditional option pricing models require that the researcher or practitioner specify the distribution of the underlying asset. In addition, the methodology is able to easily accommodate additional inputs(something that cannot be preformed with existing models. Since 1973, options on stock have been traded on organized exchanges in the United States. An option on a stock gives the option owner the right to buy or sell the stock for a pre-set price.. Since the introduction of stock options, the options market has experienced tremendous growth and has spawned even more exotic types of derivative securities. Obviously, valuing these securities is an issue of great importance to investors and hedgers in the financial marketplace. Existing pricing models produce systematic pricing errors and new models have to be developed for options with differing characteristics. The genetic adaptive neural network is found to provide more accurate valuation than a traditional option pricing model when applied to the 3-month Eurodollar futures-option contract traded on the London International Financial Futures and Options Exchange.
Author : Stefano M. Iacus
Publisher : John Wiley & Sons
ISBN 13 : 1119990203
Total Pages : 402 pages
Book Rating : 4.1/5 (199 download)
Download or read book Option Pricing and Estimation of Financial Models with R written by Stefano M. Iacus and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.
Author : David Anderson
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Accelerated American Option Pricing with Deep Neural Networks written by David Anderson and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yves Achdou
Publisher : SIAM
ISBN 13 : 9780898717495
Total Pages : 315 pages
Book Rating : 4.7/5 (174 download)
Download or read book Computational Methods for Option Pricing written by Yves Achdou and published by SIAM. This book was released on 2005-01-01 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries.
Author : Fahed Mostafa
Publisher : Springer
ISBN 13 : 331951668X
Total Pages : 177 pages
Book Rating : 4.3/5 (195 download)
Download or read book Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk written by Fahed Mostafa and published by Springer. This book was released on 2017-02-28 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book demonstrates the power of neural networks in learning complex behavior from the underlying financial time series data. The results presented also show how neural networks can successfully be applied to volatility modeling, option pricing, and value-at-risk modeling. These features mean that they can be applied to market-risk problems to overcome classic problems associated with statistical models.
Author : Jian Zou
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (459 download)
Download or read book Volatility Estimation and Option Pricing written by Jian Zou and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrea Gamba
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (129 download)
Download or read book Structural Estimation of Real Options Models written by Andrea Gamba and published by . This book was released on 2019 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a numerical approach for structural estimation of a class of Discrete (Markov) Decision Processes emerging in real options applications. The approach is specifically designed to account for two typical features of aggregate data sets in real options: the endogeneity of firms' decisions; the unobserved heterogeneity of firms. The approach extends the Nested Fixed Point algorithm by Rust (1987,1988) because both the nested optimization algorithm and the integration over the distribution of the unobserved heterogeneity are accommodated using a simulation method based on a polynomial approximation of the value function and on recursive least squares estimation of the coefficients. The Monte Carlo study shows that omitting unobserved heterogeneity produces a significant estimation bias because the model can be highly non-linear with respect to the parameters.
Author : Kathleen Shannon
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (732 download)
Download or read book Estimation and Empirical Analysis of Option Pricing Models Using Rolling Data Samples written by Kathleen Shannon and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kut-Leung Chu
Publisher : Open Dissertation Press
ISBN 13 : 9781374696150
Total Pages : pages
Book Rating : 4.6/5 (961 download)
Download or read book The CEV Model written by Kut-Leung Chu and published by Open Dissertation Press. This book was released on 2017-01-27 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "The CEV Model: Estimation and Option Pricing" by Kut-leung, Chu, 朱吉樑, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b4257500 Subjects: Options (Finance) Stocks - Prices - Mathematical models Stocks - Prcies - China - Hong Kong Stock options - Mathematical models
Author : Pieter Jelle van der Sluis
Publisher :
ISBN 13 :
Total Pages : 224 pages
Book Rating : 4.:/5 (61 download)
Download or read book Estimation and Inference with the Efficient Method of Moment written by Pieter Jelle van der Sluis and published by . This book was released on 1999 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Riccardo Brignone
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-neutral Cumulants written by Riccardo Brignone and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: We propose a general, accurate and fast econometric approach for the estimation of affine option pricing models. The algorithm belongs to the class of Laplace-Type Estimation (LTE) techniques and exploits Sequential Monte Carlo (SMC) methods. We employ functions of the risk-neutral cumulants given in closed form to marginalize latent states, and we address parameter estimation by designing a density tempered SMC sampler. We test our algorithm on simulated data by tackling the challenging inference problem of estimating an option pricing model which displays two stochastic volatility factors, allows for co-jumps between price and volatility, and stochastic jump intensity. Furthermore, we consider real data and estimate the model on a large panel of option prices. Numerical studies confirm the accuracy of our estimates and the superiority of the proposed approach compared to its natural benchmark
Author : Eva Ferreira
Publisher :
ISBN 13 :
Total Pages : 116 pages
Book Rating : 4.:/5 (433 download)
Download or read book A Semiparametric Estimation of Liquidity Effects on Option Pricing written by Eva Ferreira and published by . This book was released on 1999 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paul Wilmott
Publisher :
ISBN 13 :
Total Pages : 457 pages
Book Rating : 4.:/5 (12 download)
Download or read book Option Pricing written by Paul Wilmott and published by . This book was released on 1998 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The CEV Model written by and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrés Esteban Leövey
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (931 download)
Download or read book Multifractal Models written by Andrés Esteban Leövey and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhi Huang
Publisher :
ISBN 13 :
Total Pages : 212 pages
Book Rating : 4.:/5 (573 download)
Download or read book Option Pricing and Value-at-risk Estimation Under Laplace Distribution written by Zhi Huang and published by . This book was released on 2004 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:
