نتایج جستجو برای: european option
تعداد نتایج: 259257 فیلتر نتایج به سال:
Abstract: This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are established without accounting for stochastic volatility. In this paper, a fractional version of the Constant Elasticity of Variance (CEV) model is developed. European option pricing formula similar to that of th...
In this paper, the pricing of a European call option on the underlying asset is performed by using a Monte Carlo method, one of the powerful simulation methods, where the price development of the asset is simulated and value of the claim is computed in terms of an expected value. The proposed approach, applied in Monte Carlo simulation, is based on the Black-Scholes equation which generally def...
The increasing dependence of European Union member countries on imported oil and gas has led to concerns about energy supply and security. At the same time the share of clean energy in Europe’s energy consumption basket is increasing due to environmental issues. About a quarter of all energy consumption in the EU is natural gas, and most EU member states import almost all of their energy resou...
Clostridium difficile infection (CDI) remains poorly controlled in many European countries, of which several have not yet implemented national CDI surveillance. In 2013, experts from the European CDI Surveillance Network project and from the European Centre for Disease Prevention and Control developed a protocol with three options of CDI surveillance for acute care hospitals: a 'minimal' option...
A critical problem in finance engineering is to value the option and other derivatives securities correctly. The Monte Carlo method (MC) is an important one in the computation for the valuation of multi-asset European option. But its convergence rate is very slow. So various quasi Monte Carlo methods and the relative parallel computing method are becoming an important approach to the valuing of...
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