Showing 1 - 10 of 10
order book, using machine learning tools. The applicability of such tools on the options market is currently missing. On an … intraday tick-level dataset of options on an exchange traded fund from the Chinese market, we apply a variety of machine …
Persistent link: https://www.econbiz.de/10014636721
proper initial guess. The technique is then applied to concrete market options and the stability of the different approaches …
Persistent link: https://www.econbiz.de/10012015886
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value financial options …
Persistent link: https://www.econbiz.de/10012016033
While the main conceptual issue related to deposit insurances is the moral hazard risk, the main technical issue is inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage. In this paper, first, we discuss that by imposing the no-moral-hazard...
Persistent link: https://www.econbiz.de/10012019237
Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....
Persistent link: https://www.econbiz.de/10010399734
In this study, we use Neural Networks (NNs) to price American put options. We propose two NN models-a simple one and a …-Cola Company (KO), General Motors (GM), and Bank of America Corp (BAC). Our dataset is composed of all options traded within the …
Persistent link: https://www.econbiz.de/10012293134
This paper investigates the risk exposure for options and proposes MaxVaR as an alternative risk measure which captures … higher for stocks than the options and we can surmise that stock returns are more volatile than options. For robustness, the … study is carried out under different distributional assumptions on residuals and for different stock index options. …
Persistent link: https://www.econbiz.de/10012293244
In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman in 1997 to price a π-option. This method is based on the simulated price tree that comes from discretization and replication of possible trajectories of the underlying asset's price. As a result, this algorithm...
Persistent link: https://www.econbiz.de/10012293283
I document a sizeable bias that might arise when valuing out of the money American options via the Least Square Method … American option might even fall below the price of its European counterpart. For call options, this is likely to occur when the …
Persistent link: https://www.econbiz.de/10012019000
VaR and CVaR metrics, the identification of optimal portfolios, and the pricing of European-style basket options. We … shortfall) of portfolio returns. Additionally, European-style basket options written on the extreme and average stock prices or … a systemic risk asset) with eight ordinary assets representing diverse industries. Using historical assets and options …
Persistent link: https://www.econbiz.de/10014446758