Temat: option - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: OVERLAPPING MULTIGRID METHODS AS AN EFFICIENT APPROACH FOR SOLVING THE BLACK-SCHOLES EQUATION
Autorzy:: Bernardelli, Michał
Powiązania:: https://bibliotekanauki.pl/articles/453023.pdf
Data publikacji:: 2015
Wydawca:: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:: option pricing
Black-Scholes model
multigrid method
finite-difference scheme
Opis:: In this paper the modification of a two-level multigrid method by allowing an overlap between adjacent subdomains and its application to a one-dimensional Black-Scholes equation is described. The method is based on the finite-difference schema known as implicit Euler. Numerical experiments confirm the superiority of the proposed method in relation to the classic multigrid method in form of shortening computation time, memory savings and ease of parallelization. The comparison shows the advantages of overlapping grids vs method without them, mainly due to improved accuracy of the solution.
Źródło:: Metody Ilościowe w Badaniach Ekonomicznych; 2015, 16, 1; 25-36
2082-792X
Pojawia się w:: Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Options Pricing by Monte Carlo Simulation, Binomial Tree and BMS Model: a comparative study of Nifty50 options index
Autorzy:: Bendob, Ali
Bentouir, Naima
Powiązania:: https://bibliotekanauki.pl/articles/2041933.pdf
Data publikacji:: 2019-04-03
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:: options pricing
option markets
Black-Scholes model
Binomial model
Monte-Carlo Simulation model
Greek letters
Opis:: Investment behaviour, techniques and choices have evolved in the options markets since the launch of options trading in 1973. Today, we are entering the field of Big Data and the explosion of information, which has become the main feature of science, impacts investors' decisions and their trading position, particularly in the financial markets. Our paper aims to testing the effectiveness of the most popular options pricing models , which are the Monte Carlo simulation method, the Binomial model, and the benchmark model; the Black-Scholes model, when we ignore/take on account the Moneyness categories and different time to maturities; five months, one year, and two years, in addition to comparing these models, we will then test the effect of each model on the prediction of the current options prices, using the regression analysis, and the Nifty50 option index during the period of 25/07/2014 to 30/06/2016. The result shows that all models are overpriced in all Moneyness categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation method is outperforming when the volatility is lower, while the Black-Sholes model and the Binomial model are outperforming in the entire sample with ignoring the Moneyness.
Źródło:: Journal of Banking and Financial Economics; 2019, 1(11); 79-95
2353-6845
Pojawia się w:: Journal of Banking and Financial Economics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Application of the Trefftz method for option pricing
Autorzy:: Brzozowska-Rup, Katarzyna
Hożejowska, Sylwia
Hożejowski, Leszek
Powiązania:: https://bibliotekanauki.pl/articles/1918663.pdf
Data publikacji:: 2020
Wydawca:: Politechnika Śląska. Wydawnictwo Politechniki Śląskiej
Tematy:: contract options
option pricing
Black-Scholes model
Trefftz method
opcje kontraktowe
wycena opcji
model Blacka-Scholesa
Metoda Trefftza
Opis:: Purpose: Option pricing is hardly a new topic, however, in many cases they lack an analytical solution. The article proposes a new approach to option pricing based on the semi-analytical Trefftz method. Design/methodology/approach: An appropriate transformation makes it possible to reduce the Black-Scholes equation to the heat equation. This admits the Trefftz method (which has shown its effectiveness in heat conduction problems) to be employed. The advantage of such an approach lies in its computational simplicity and in the fact that it delivers a solution satisfying the governing equation. Findings: The theoretical option pricing problem being considered in the paper has been solved by means of the Trefftz method, and the results achieved appear to comply with those taken from the Black-Scholes formula. Numerical simulations have been carried out and compared, which has confirmed the accuracy of the proposed approach. Originality/value: Although a number of solutions to the Black-Scholes model have appeared, the paper presents a thoroughly novel idea of implementation of the Trefftz method for solving this model. So far, the method has been applied to problems having nothing in common with finance. Therefore the present approach might be a starting point for software development, competitive to the existing methods of pricing options.
Źródło:: Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska; 2020, 146; 37-49
1641-3466
Pojawia się w:: Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: Zastosowanie sieci neuronowych do wyceny kontraktów opcyjnych na indeks WIG20
Application of neural networks to the valuation of index option contracts on WIG20
Autorzy:: Kraszewska, M.
Powiązania:: https://bibliotekanauki.pl/articles/275297.pdf
Data publikacji:: 2011
Wydawca:: Sieć Badawcza Łukasiewicz - Przemysłowy Instytut Automatyki i Pomiarów
Tematy:: sztuczne sieci neuronowe
wycena opcji
model Blacka-Scholesa
indeks WIG20
artificial neural networks
option pricing
Black-Scholes model
index WIG20
Opis:: W artykule zaprezentowano możliwość zaadoptowania sztucznych sieci neuronowych do wyceny kontraktów opcyjnych na indeks WIG20 Giełdy Papierów Wartościowych w Warszawie. Analizując dane rzeczywiste z lat 2005-2009 zbudowano szereg modeli sieci neuronowych z wykorzystaniem programu Statistica. Uzyskane rezultaty porównano z wynikami otrzymanymi z modelu Blacka-Scholesa. Do pomiaru dokładności prognoz modeli użyto powszechnie znane miary błędów.
The possibility of adopting artificial neural networks to the valuation of option contracts on WIG20 Warsaw Stock Exchange is presented. Using real data from 2005-2009 several models of neural networks were examined in Statistica. The results were compared with results received using the Black-Scholes formula. To measure the accuracy of forecasting models commonly known measurement errors were used.
Źródło:: Pomiary Automatyka Robotyka; 2011, 15, 12; 220-222
1427-9126
Pojawia się w:: Pomiary Automatyka Robotyka
Dostawca treści:: Biblioteka Nauki

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