In particular, we provide an efficient algorithm for backpropa-gating gradients through multinomial pricing trees. Since the risk-neutral measure prices all options simultaneously, we can use all …
By performing volatility estimation using a distribution corresponding to the best estimate of the present volatility level given all past stock price observations, we are able to implement a …
Recombined multinomial tree based on saddle-point
2019年1月15日 · Then, we provide the method to construct recombined multinomial tree and give the pricing formula of European option and path-dependent option pricing based on the …
Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
2008年4月1日 · Classical arbitrage‐free option pricing is performed on the tree, and provides answers that are close to market prices of options on the SP500 or on blue‐chip stocks. …
Stochastic Volatility: Option Pricing Using a Multinomial Recombining Tree
2012年5月26日 · Classical arbitrage-free option pricing is performed on the tree, and provides answers that are close to market prices of options on the SP500 or on blue-chip stocks. We …
Inspired by the success of the binomial models, we too seek a tree-based approximation. This article shows how to achieve our goal using a quadrinomial tree model, one in which, at any …
NN-OPT: Neural Network for Option Pricing Using Multinomial Tree
Support vector machines and multi-layered perceptron techniques are implemented using Bayesian technique to model American options and the results are compared. We introduce a …
NN-OPT: Neural Network for Option Pricing Using Multinomial Tree …
In particular, we provide an efficient algorithm for backpropagating gradients through multinomial pricing trees. Since the risk-neutral measure prices all options simultaneously, we can use all …
Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
2019年6月20日 · Classical arbitrage-free option pricing is performed on the tree, and provides answers that are close to market prices of options on the SP500 or on blue-chip stocks. …
Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
2008年3月17日 · Classical arbitrage‐free option pricing is performed on the tree, and provides answers that are close to market prices of options on the SP500 or on blue‐chip stocks. …