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Pricing and hedging with discontinuous functions : quasi-Monte Carlo methods and dimensions reduction

Wang, Xiaoqun; Tan, Ken Seng - In: Management science : journal of the Institute for … 59 (2013) 2, pp. 376-389

Persistent link: https://www.econbiz.de/10009713876

Artificial neural network for option pricing with and without asymptotic correction

Funahashi, Hideharu - In: Quantitative finance 21 (2021) 4, pp. 575-592

Persistent link: https://www.econbiz.de/10012483840

Evaluation of options using the Black-Scholes methodology

Brătian, Vasile - In: Expert journal of economics 7 (2019) 2, pp. 59-65

This paper discusses how to obtain the Black-Scholes equation to evaluate options and how to obtain explicit solutions for Call and Put. The Black-Scholes equation, which is the basis for determining explicit solutions for Call and Put, is a rather sophisticated equation. It is a partial...

Persistent link: https://www.econbiz.de/10012131594

A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing

Yamada, Toshihiro; Yamamoto, Kenta - In: Quantitative finance 20 (2020) 11, pp. 1825-1837

Persistent link: https://www.econbiz.de/10012313518

SABR equipped with AI wings

Funahashi, Hideharu - In: Quantitative finance 23 (2023) 2, pp. 229-249

Persistent link: https://www.econbiz.de/10014232624

D-optimal plans in observational studies

Pumplün, Constanze; Rüping, Stefan; Morik, Katharina; … - 2005

This paper investigates the use of Design of Experiments in observational studies in order to select informative observations and features for classification. D-optimal plans are searched for in existing data and based on these plans the variables most relevant for classification are determined....