scholarly journals Smile from the past: A general option pricing framework with multiple volatility and leverage components

2015 ◽  
Vol 187 (2) ◽  
pp. 521-531 ◽  
Author(s):  
Adam A. Majewski ◽  
Giacomo Bormetti ◽  
Fulvio Corsi
Keyword(s):  
Option Pricing ◽  
The Past ◽  
Pricing Framework

scholarly journals Bayesian Option Pricing Framework with Stochastic Volatility for FX Data

Risks ◽  
2016 ◽  
Vol 4 (4) ◽  
pp. 51 ◽  
Author(s):  
Ying Wang ◽  
Sai Choy ◽  
Hoi Wong
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
Pricing Framework

scholarly journals Risk-Neutrality of RND and Option Pricing within an Entropy Framework

Entropy ◽  
2020 ◽  
Vol 22 (8) ◽  
pp. 836 ◽  
Author(s):  
Xisheng Yu
Keyword(s):  
Option Pricing ◽  
Risk Neutral ◽  
Unique Distribution ◽  
Pricing Framework

This article constructs an entropy pricing framework by incorporating a set of informative risk-neutral moments (RNMs) extracted from the market-available options as constraints. Within the RNM-constrained entropic framework, a unique distribution close enough to the correct one is obtained, and its risk-neutrality is deeply verified based on simulations. Using this resultant risk-neutral distribution (RND), a sample of risk-neutral paths of the underlying price is generated and ultimately the European option’s prices are computed. The pricing performance and analysis in simulations demonstrate that this proposed valuation is comparable to the benchmarks and can produce fairly accurate prices for options.

Pricing European options in a delay model with jumps

2014 ◽  
Vol 01 (04) ◽  
pp. 1450032 ◽  
Author(s):  
Zaheer Imdad ◽  
Tusheng Zhang
Keyword(s):  
Option Pricing ◽  
Price Dynamics ◽  
Delay Model ◽  
European Options ◽  
The Past ◽  
Past Price ◽  
Pricing Formula

In this paper, we extend the delay option pricing formula proposed by Arriojas et al. (2007) by adding a jump term in the price dynamics equations. We believe our model provides an excellent environment to price European options as it has the ability to incorporate jumps as well as it depends on the past price behaviors.

An option pricing framework for valuation of football players

2005 ◽  
Vol 14 (3-4) ◽  
pp. 281-295 ◽  
Author(s):  
Radu Tunaru ◽  
Ephraim Clark ◽  
Howard Viney
Keyword(s):  
Option Pricing ◽  
Football Players ◽  
Pricing Framework

DeepOption: A novel option pricing framework based on deep learning with fused distilled data from multiple parametric methods

2021 ◽  
Vol 70 ◽  
pp. 43-59
Author(s):  
Ji Hyun Jang ◽  
Jisang Yoon ◽  
Jungeun Kim ◽  
Jinmo Gu ◽  
Ha Young Kim
Keyword(s):  
Deep Learning ◽  
Option Pricing ◽  
Parametric Methods ◽  
Pricing Framework
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