Classical measure underpins the foundations of financial derivative pricing, as the classical expectation satisfies the …. Quantum measure extends this by allowing payoffs to be noncommuting, offering a source of volatility not present in the … example, this article considers the practical benefits of quantum probability for derivative pricing, and concludes with the …

two key channels---the volatility channel and the price channel---and a change in systematic risk causes a repricing of … the underlying asset that may dominate the volatility channel. The comparative statics are robust to the presence of … stochastic volatility, and thus yield internally consistent implications not only for the cross-section of options but also for …

. Specifically, we use swarm intelligence to find the optimal exercise boundary for an American-style derivative. Swarm intelligence …

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 …

). The purpose is to by-pass the derivative of an (irregular) pay-off function in a jump-type market by introducing a weight …

, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility … known as "volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and the state price density …