Sentence examples for option pricing problem from inspiring English sources

The inverse problem considered in the paper and the obtained results can be regarded as the beneficial supplement of the inverse option pricing problem.

The fundamental option pricing problem is to calculate the fair price that the option holder must pay to acquire this right.

Secondly, to reduce the inverse option pricing problem to an inverse parabolic problem with terminal observations, the conjugate theory (see [4]) should be adopted.

This closed-form representation is then embedded into the equity option pricing model, simplifying the compound option pricing problem as a more approachable barrier option pricing (first seen in Toft and Prucyk (1997)).

Therefore, we will let the numerical solution of the C-N scheme approximately substitute the exact solution of a European call option pricing problem with transaction costs and compare these various difference schemes.

The results of free boundary problems have been used in the modeling many practical problems, such as wound healing [20], the combustion process [21], the American option pricing problem [22], the chemical vapor deposition on a hot wall reactor [23], image processing [24], tumor growth [25, 26], and so on.

Therefore, the ABdC-N scheme can be more effective to solve option pricing problems than the classical C-N scheme.

Comprehensively considering the computing efficiency and the computing accuracy, the ABdC-N scheme can be more effective to solve the quanto option pricing problems.

Its results are applicable to the American option price problem.

The research of parallel numerical difference methods for solving a multi-asset options pricing problem has basic scientific significance.

Numerical experiments and theoretical analysis all show that ABdC-N scheme can be used to solve the quanto options pricing problems effectively.