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New Financial Research Program: General Option-Price Wave Modeling
General option-price wave modeling new financial research program
2010/4/27
Recently, a novel adaptive wave model for financial option pricing has been proposed in the form of adaptive nonlinear Schr\"{o}dinger (NLS) equation [Ivancevic a], as a high-complexity alternative to...
New Financial Research Program: General Option-Price Wave Modeling
General option-price wave modeling new financial research program
2010/10/18
Recently, a novel adaptive wave model for financial option pricing has been proposed in the form of adaptive nonlinear Schr\"{o}dinger (NLS) equation [Ivancevic a], as a high-complexity alternative to...
Option Price When the Stock is a Semimartingale
Black-Scholes formula Meyer-Tanaka formula semimartingales
2009/4/29
The purpose of this note is to give a PDE satisfied by a call option when the price process is a semimartingale. The main result generalizes the PDE in the case when the stock price is a diffusion. It...
Quantum Neural Computation for Option Price Modelling
Option price modelling Quantum neural computation nonlinear Schr¨odinger equations leverage effect bidirectional associative memory
2010/10/29
We propose a new cognitive framework for option price modelling, using quantum
neural computation formalism. Briefly, when we apply a classical nonlinear neuralnetwork
learning to a linear quantum S...