scholarly journals A projection pricing model for non-Gaussian financial returns

2019 ◽  
Vol 534 ◽  
pp. 122181 ◽  
Author(s):  
Ana Flávia P. Rodrigues ◽  
Charles C. Cavalcante ◽  
Vicente L. Crisóstomo
Keyword(s):  
Pricing Model ◽  
Financial Returns ◽  
Non Gaussian

scholarly journals A non-Gaussian option pricing model with skew

2004 ◽  
Vol 4 (5) ◽  
pp. 499-514 ◽  
Author(s):  
Lisa Borland ◽  
Jean-Philippe Bouchaud
Keyword(s):  
Option Pricing ◽  
Pricing Model ◽  
Option Pricing Model ◽  
Non Gaussian

Path integrals in fluctuating markets with a non-Gaussian option pricing model

2005 ◽  
Author(s):  
Frederic D. R. Bonnet ◽  
John van der Hoek ◽  
Andrew Allison ◽  
Derek Abbott
Keyword(s):  
Option Pricing ◽  
Path Integrals ◽  
Pricing Model ◽  
Option Pricing Model ◽  
Non Gaussian

scholarly journals A Non-Gaussian Pricing Model for Structured Products

2017 ◽  
Vol 11 (3) ◽  
pp. 45-58
Author(s):  
Denis Zuev
Keyword(s):  
Probability Distributions ◽  
Fair Value ◽  
Pricing Model ◽  
Fair Price ◽  
Gaussian Distributions ◽  
Structured Products ◽  
Market Participants ◽  
Market Framework ◽  
Non Gaussian ◽  
Value Pricing

The paper aims to reconstruct the empirical premia of the structured products with two underlying assets. We apply various models that differ in probability distributions of the underlying price processes. Pricing techniques, currently worldwide accepted, are based on the Black-Scholes model modifications with Gaussian distributions. Conventionally a correlation between underlying price processes is not considered. In order to achieve the overall objective the paper suggests a pricing model of structured products. The model considers a non-Gaussian realistic market framework for pricing the underlying assets and takes into account their correlation. The theoretical and methodological basis of our research is quantitative finance, evolutionary equations, dynamical systems and field theory. The paper presents an example of pricing a range of structured products. We find that the approach to the theoretical premium valuation of the complex financial instrument is interrelated bijec- tively with statistical properties of the underlying assets. In particular, the paper presents the effectiveness of our model with regard to the structured derivatives with the correlated assets that obey non-Gaussian distributions. The fair value of the structured product evaluated using our model outperforms estimates obtained by means of other methods as it allows lower fair price of the derivatives. The results of our research may be beneficial to academics, market participants including market analysts, risk-managers and developers of financial products. We have concluded that market participants carry extra costs due to the simple models of the structured products' fair value pricing they apply. The proposed model looks especially promising within the context of the complex derivatives market which growth has been accompanied by low liquidity and high premia, in the absence of a unique framework for pricing the structured products that would be consistent with financial market practice.

scholarly journals A non-Gaussian option pricing model with skew

2007 ◽  
Vol 7 (6) ◽  
pp. 703-703 ◽  
Author(s):  
Lisa Borland ◽  
Jean-Philippe Bouchaud
Keyword(s):  
Option Pricing ◽  
Pricing Model ◽  
Option Pricing Model ◽  
Non Gaussian

PRICING MODEL FOR COMPETING ONLINE AND RETAIL CHANNEL WITH ONLINE BUYING RISK

2013 ◽  
Author(s):  
Varanya Varanyuwatana ◽  
◽  
Chutikarn Anunyavanit ◽  
Manorat Pinthong ◽  
Puthaporn Jarupash ◽  
...  
Keyword(s):  
Pricing Model ◽  
Retail Channel ◽  
Online Buying
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