Browsing by Subject "Black-Scholes"
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A Black-Scholes-integrated Gaussian Process Model for American Option Pricing
(2020-04-15)Acknowledging the lack of option pricing models that simultaneously have high prediction power, high computational efficiency, and interpretations that abide by financial principles, we suggest a Black-Scholes-integrated ... -
Spectral Element Method for Pricing European Options and Their Greeks
(2012)Numerical methods such as Monte Carlo method (MCM), finite difference method (FDM) and finite element method (FEM) have been successfully implemented to solve financial partial differential equations (PDEs). Sophisticated ...
