Sign in to use this feature.

Years

Between: -

Subjects

remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline
remove_circle_outline

Journals

Article Types

Countries / Regions

Search Results (28)

Search Parameters:
Keywords = American call option

Order results
Result details
Results per page
Select all
Export citation of selected articles as:
25 pages, 2588 KiB  
Article
A Fast and Accurate Numerical Approach for Pricing American-Style Power Options
by Tsvetelin S. Zaevski, Hristo Sariev and Mladen Savov
Mathematics 2025, 13(12), 2031; https://doi.org/10.3390/math13122031 - 19 Jun 2025
Viewed by 915
Abstract
In this paper, we present a fast and accurate numerical approach applied to specific American-style derivatives, namely American power call and put options, whose main feature is that the underlying asset is raised to a power. The study is set in the Black–Scholes [...] Read more.
In this paper, we present a fast and accurate numerical approach applied to specific American-style derivatives, namely American power call and put options, whose main feature is that the underlying asset is raised to a power. The study is set in the Black–Scholes framework, and we consider continuously paying dividends assets and arbitrary positive values for the power. It is important to note that although a log-normal process raised to a power is again log-normal, the resulting change in variables may lead to a negative dividend rate, and this case remains largely understudied in the literature. We derive closed-form formulas for the perpetual options’ optimal boundaries and for the fair prices. For finite maturities, we approximate the optimal boundary using some first-hitting properties of the Brownian motion. As a consequence, we obtain the option price quickly and with relatively high accuracy—the error is at the third decimal position. We further provide a comprehensive analysis of the impact of the parameters on the options’ value, and discuss ordinary European and American capped options. Various numerical examples are provided. Full article
(This article belongs to the Special Issue Stochastic Control and Optimization in Mathematical Finance)
Show Figures

Figure 1

13 pages, 1020 KiB  
Article
Real-World Data: Implementation and Outcomes of Next-Generation Sequencing in the MENA Region
by Rami Mahfouz, Reine Abou Zeidane, Tasnim Diab, Ali Tarhini, Eman Sbaity, Houry Kazarian, Yomna El Zibaoui, Nour Sabiha Naji, Mounir Barake and Hazem I. Assi
Diagnostics 2025, 15(10), 1183; https://doi.org/10.3390/diagnostics15101183 - 8 May 2025
Viewed by 727
Abstract
Background: In the era of precision medicine, Next-Generation Sequencing (NGS) has emerged as an important tool for identifying targetable mutations and tailoring treatment options. Yet the Middle East and North Africa (MENA) lags behind in adopting this technology. This study aims to demonstrate [...] Read more.
Background: In the era of precision medicine, Next-Generation Sequencing (NGS) has emerged as an important tool for identifying targetable mutations and tailoring treatment options. Yet the Middle East and North Africa (MENA) lags behind in adopting this technology. This study aims to demonstrate the transformative potential of molecular profiling in the region. Methods: This retrospective study reviewed cancer patients at the American University of Beirut Medical Centre, comparing outcomes between those who received NGS-based treatment adjustments (NBTAs) and those who did not. Results: The study enrolled 180 patients, including those with non-small-cell lung cancer (21.2%), sarcomas (20%), gastrointestinal malignancies (23.3%), breast cancer (10.6%), and other cancers (24.9%); 58.3% had stage 4 cancer at diagnosis. Before molecular profiling, 20.6% had stable disease, 21.7% showed partial response, and 57.8% had progressive disease. Most (96%) had received treatment, mainly systemic (90%), with chemotherapy (89%) being the most common. Forty patients (22.2%) underwent NGS-based treatment adjustments (NBTAs). Post-NGS, targeted therapies increased from 35% to 43% and immunotherapies from 14% to 18%. Mutations were detected in 98% of patients, with a median of four mutations per patient. NBTA patients had a median overall survival of 59 months, compared to 23 months for non-NBTA patients (p = 0.096), and significantly improved progression-free survival (5.32 vs. 3.28 months, p = 0.023). Conclusions: The use of large-scale molecular profiling to guide treatment adjustments promises advancements in patient care. Integrating NGS into clinical practice correlates with improved PFS, calling for a broader adoption of its use in the MENA region. Full article
(This article belongs to the Special Issue Advances in Cancer Pathology and Diagnosis)
Show Figures

Figure 1

19 pages, 4253 KiB  
Review
Is Conduction System Pacing Going to Be the New Gold Standard for Cardiac Resynchronization Therapy?
by Michael Derndorfer, Georgios Kollias, Martin Martinek and Helmut Pürerfellner
J. Clin. Med. 2024, 13(15), 4320; https://doi.org/10.3390/jcm13154320 - 24 Jul 2024
Cited by 6 | Viewed by 5287
Abstract
The current gold standard in device therapy for advanced heart failure (HF), which has been firmly established in HF management for more than 25 years, is classical biventricular pacing (BiV-CRT). In the last decade, a new pacing modality called conduction system pacing (CSP) [...] Read more.
The current gold standard in device therapy for advanced heart failure (HF), which has been firmly established in HF management for more than 25 years, is classical biventricular pacing (BiV-CRT). In the last decade, a new pacing modality called conduction system pacing (CSP) has emerged as a variant for advanced cardiac device therapy. It provides pacing with preserved intrinsic cardiac activation by direct stimulation of the specific cardiac conduction system. The term CSP integrates the modalities of HIS bundle pacing (HBP) and left bundle branch area pacing (LBBAP), both of which have provided convincing data in smaller randomized and big non-randomized studies for the prevention of pacemaker-induced cardiomyopathy and for providing effective cardiac resynchronization therapy in patients with classical CRT-indication (primary approach or after failed CRT). Recent American guidelines proposed the term “cardiac physiological pacing” (CPP), which summarizes CSP including left ventricular septal pacing (LVSP), a technical variant of LBBAP together with classical BiV-CRT. The terms HOT-CRT (HIS-optimized CRT) and LOT-CRT (LBBP-optimized CRT) describe hybrid technologies that combine CSP with an additional coronary-sinus electrode, which is sometimes useful in patients with advanced HF and diffuse interventricular conduction delay. If CSP continues providing promising data that can be confirmed in big, randomized trials, it is likely to become the new gold standard for patients with an expected high percentage of pacing (>20%), possibly also for cardiac resynchronization therapy. CSP is a sophisticated new treatment option that has the potential to raise the term “cardiac resynchronization therapy” to a new level. The aim of this review is to provide basic technical, anatomical, and functional knowledge of these new pacemaker techniques in order to facilitate the understanding of the different modalities, as well as to provide an up-to-date overview of the existing randomized and non-randomized evidence, particularly in direct comparison to right ventricular and classical biventricular pacing. Full article
(This article belongs to the Special Issue Advances in Cardiac Electrophysiology and Pacing: Part II)
Show Figures

Figure 1

19 pages, 6498 KiB  
Article
Temporal Association Rule Mining: Race-Based Patterns of Treatment-Adverse Events in Breast Cancer Patients Using SEER–Medicare Dataset
by Nabil Adam and Robert Wieder
Biomedicines 2024, 12(6), 1213; https://doi.org/10.3390/biomedicines12061213 - 29 May 2024
Cited by 1 | Viewed by 1552
Abstract
PURPOSE: Disparities in the screening, treatment, and survival of African American (AA) patients with breast cancer extend to adverse events experienced with systemic therapy. However, data are limited and difficult to obtain. We addressed this challenge by applying temporal association rule (TAR) mining [...] Read more.
PURPOSE: Disparities in the screening, treatment, and survival of African American (AA) patients with breast cancer extend to adverse events experienced with systemic therapy. However, data are limited and difficult to obtain. We addressed this challenge by applying temporal association rule (TAR) mining using the SEER–Medicare dataset for differences in the association of specific adverse events (AEs) and treatments (TRs) for breast cancer between AA and White women. We considered two categories of cancer care providers and settings: practitioners providing care in the outpatient units of hospitals and institutions and private practitioners providing care in their offices. PATIENTS AN METHODS: We considered women enrolled in the Medicare fee-for-service option at age 65 who qualified by age and not disability, who were diagnosed with breast cancer with attributed patient factors of age and race, marital status, comorbidities, prior malignancies, prior therapy, disease factors of stage, grade, and ER/PR and Her2 status and laterality. We included 141 HCPCS drug J codes for chemotherapy, biotherapy, and hormone therapy drugs, which we consolidated into 46 mechanistic categories and generated AE data. We consolidated AEs from ICD9 codes into 18 categories associated with breast cancer therapy. We applied TAR mining to determine associations between the 46 TR and 18 AE categories in the context of the patient categories outlined. We applied the spark.mllib implementation of the FPGrowth algorithm, a parallel version called PFP. We considered differences of at least one unit of lift as significant between groups. The model’s results demonstrated a high overlap between the model’s identified TR-AEs associated set and the actual set. RESULTS: Our results demonstrate that specific TR/AE associations are highly dependent on race, stage, and venue of care administration. CONCLUSIONS: Our data demonstrate the usefulness of this approach in identifying differences in the associations between TRs and AEs in different populations and serve as a reference for predicting the likelihood of AEs in different patient populations treated for breast cancer. Our novel approach using unsupervised learning enables the discovery of association rules while paying special attention to temporal information, resulting in greater predictive and descriptive power as a patient’s health and life status change over time. Full article
Show Figures

Figure 1

14 pages, 311 KiB  
Review
Inserted Religious Life as a Path to Authentic Consecrated Chastity—The Witness of Non-Violent Solidarity of Alice Domon and José Aldunate Lyon in Latin America 1967–1983
by Virginia Raquel Azcuy
Religions 2024, 15(4), 386; https://doi.org/10.3390/rel15040386 - 22 Mar 2024
Viewed by 1350
Abstract
The reception of the Decree Perfectae caritatis in Latin America can be understood in connection with the emergence of the preferential option for the poor and the call for consecrated religious life to the insertion since the 1960s. As part of the existing [...] Read more.
The reception of the Decree Perfectae caritatis in Latin America can be understood in connection with the emergence of the preferential option for the poor and the call for consecrated religious life to the insertion since the 1960s. As part of the existing link between conciliar texts and renewal movements, it is worth highlighting the testimony of religious life lived in solidarity with the poor as a way of practicing chastity and incorporating sexuality. This topic is explored through the life stories of two individuals, Alice Domon in Argentina (1937–1977) and José Aldunate Lyon in Chile (1917–2019), within the framework of related studies on ethnographic ecclesiology and the theology of renewed religious life. Amidst military governments, institutional violence, abuses of power, and human rights violations, the lives of these two consecrated individuals showcase an alternative path marked by self-emptying, unwavering fidelity, non-violent action, and prophetic denunciation. The pursuit of integration between contemplative and apostolic aspects in the love for God and the poor, along with the defense of human rights in solidarity with the victims and their families, are some of the keys that define an adapted understanding of religious life in the Latin American context. Full article
(This article belongs to the Special Issue Sin, Sex, and Democracy: Politics and the Catholic Church)
6 pages, 206 KiB  
Commentary
Insomnia Guidelines—The European Update 2023
by Dieter Riemann, Raphael J. Dressle and Kai Spiegelhalder
Clin. Transl. Neurosci. 2024, 8(1), 10; https://doi.org/10.3390/ctn8010010 - 26 Jan 2024
Cited by 2 | Viewed by 9591
Abstract
The last ten years have seen the development and publication of numerous national and international guidelines devoted to the diagnosis and treatment of insomnia. These include guidelines by the American College of Physicians (ACP), the American Academy of Sleep Medicine (AASM), the British [...] Read more.
The last ten years have seen the development and publication of numerous national and international guidelines devoted to the diagnosis and treatment of insomnia. These include guidelines by the American College of Physicians (ACP), the American Academy of Sleep Medicine (AASM), the British Sleep Society (BSS), the German Sleep Society (GSS), and the European Sleep Research Society (ESRS). Though coming from very diverse authors and backgrounds, these guidelines by and large agree concerning the therapeutic recommendations: cognitive behavioral treatment of insomnia (CBT-I), a multicomponent psychotherapeutic intervention, is unequivocally recommended as a first-line treatment. In this report, we will focus on the most recent guideline update from the ESRS, which was published in November 2023. After suggesting a careful diagnostic procedure, CBT-I, both applied face to face (F2F) or digitally (dCBT-I), is again recommended as a first-line treatment based on the available evidence. Hypnotic medications like benzodiazepines (BZ), benzodiazepine receptor agonists (BZRA), sedating antidepressants, and others are approved for short-term-treatment of up to four weeks. Orexin receptor antagonists (i.e., daridorexant) and prolonged release melatonin are considered as options for longer-term treatment when carefully considering the advantages and disadvantages. Both light therapy and exercise regimens were viewed as promising; however, they still lack convincing evidence for the time being. Given the fact that not every patient responds satisfactorily or even remits following CBT-I or other treatment options, the research agenda calls for the development and evaluation of new therapeutic avenues and combination therapies. Full article
(This article belongs to the Special Issue Sleep–Wake Medicine)
19 pages, 397 KiB  
Review
Deep Reinforcement Learning for Dynamic Stock Option Hedging: A Review
by Reilly Pickard and Yuri Lawryshyn
Mathematics 2023, 11(24), 4943; https://doi.org/10.3390/math11244943 - 13 Dec 2023
Cited by 2 | Viewed by 4774
Abstract
This paper reviews 17 studies addressing dynamic option hedging in frictional markets through Deep Reinforcement Learning (DRL). Specifically, this work analyzes the DRL models, state and action spaces, reward formulations, data generation processes and results for each study. It is found that policy [...] Read more.
This paper reviews 17 studies addressing dynamic option hedging in frictional markets through Deep Reinforcement Learning (DRL). Specifically, this work analyzes the DRL models, state and action spaces, reward formulations, data generation processes and results for each study. It is found that policy methods such as DDPG are more commonly employed due to their suitability for continuous action spaces. Despite diverse state space definitions, a lack of consensus exists on variable inclusion, prompting a call for thorough sensitivity analyses. Mean-variance metrics prevail in reward formulations, with episodic return, VaR and CvaR also yielding comparable results. Geometric Brownian motion is the primary data generation process, supplemented by stochastic volatility models like SABR (stochastic alpha, beta, rho) and the Heston model. RL agents, particularly those monitoring transaction costs, consistently outperform the Black–Scholes Delta method in frictional environments. Although consistent results emerge under constant and stochastic volatility scenarios, variations arise when employing real data. The lack of a standardized testing dataset or universal benchmark in the RL hedging space makes it difficult to compare results across different studies. A recommended future direction for this work is an implementation of DRL for hedging American options and an investigation of how DRL performs compared to other numerical American option hedging methods. Full article
20 pages, 505 KiB  
Article
Changes in Haredi Education in Israel: A Comparative Perspective from the United States Using Monsey as a Test Case
by Ilan Fuchs
Religions 2023, 14(11), 1425; https://doi.org/10.3390/rel14111425 - 15 Nov 2023
Cited by 1 | Viewed by 3340
Abstract
The Haredi community in Israel is the youngest community. It grows at a higher rate than that of the Arab population in Israel. The calls to introduce more secular education are motivated by both a desire to acculturate the Haredi population and bring [...] Read more.
The Haredi community in Israel is the youngest community. It grows at a higher rate than that of the Arab population in Israel. The calls to introduce more secular education are motivated by both a desire to acculturate the Haredi population and bring it closer to the norms and values of the Israeli discourse and from a wish to integrate more people from this community into the job market. Calls to introduce more secular education in the Haredi system have seen constant resistance that has been documented in scholarship. In the U.S., the discussion on the correct role of general education started with a different frame of reference. The existence of meaningful religious education was put into question, and only after the holocaust did American Orthodoxy significantly expand its educational options. This text will describe the diverse spectrum of Haredi educational institutions and their approaches to secular education. I am using Monsey as a test case since it is a good representation of the kaleidoscope of Orthodoxy in the U.S., as far as the different communities are concerned. It is also a very decentralized community, since there is no dominant group in Monsey. This fact allows for more initiatives, including educational initiatives, to be undertaken. Full article
(This article belongs to the Special Issue Child and Adolescent Spirituality/Religiosity and Religious Education)
12 pages, 249 KiB  
Article
The Poor as Symptom: A Lacanian Reading of the Option for the Poor
by Levi Checketts
Religions 2023, 14(5), 639; https://doi.org/10.3390/rel14050639 - 10 May 2023
Viewed by 1935
Abstract
Latin American liberation theology contributed perhaps the most significant theological contribution of the twentieth century in the “preferential option for the poor”. This insight has been an uneasy call to conscience for the magisterial Catholic Church, which has often buttressed the positions of [...] Read more.
Latin American liberation theology contributed perhaps the most significant theological contribution of the twentieth century in the “preferential option for the poor”. This insight has been an uneasy call to conscience for the magisterial Catholic Church, which has often buttressed the positions of the powerful. However, despite the central significance of this discovery, liberation theologians themselves often betray their own positions by romanticizing the poor, speaking on their behalf, diluting the meaning of poor and other such seeming shortcomings. This article argues that the incongruence regnant in discussions of the preferential option can best be understood through the Lacanian notion of a “symptom”. As “woman is the symptom of man”, the poor are the symptom of the upper classes. In order for nonpoor to understand their own socioeconomic position—including academically trained clergy—they must posit the poor as an Other against whom they understand themselves. As such, reaching “the poor” is an impossibility for anyone who is in a position to truly advocate for them. However, the insight of the preferential option tells us that the impossibility should be pursued nonetheless, with full understanding that it is an impossibility. Full article
(This article belongs to the Special Issue The Future of Liberation Theologies)
14 pages, 290 KiB  
Article
Knowledge Discovery to Support WTI Crude Oil Price Risk Management
by Radosław Puka, Bartosz Łamasz, Iwona Skalna, Beata Basiura and Jerzy Duda
Energies 2023, 16(8), 3486; https://doi.org/10.3390/en16083486 - 17 Apr 2023
Cited by 1 | Viewed by 2119
Abstract
The high volatility of commodity prices and various problems that the energy sector has to deal with in the era of COVID-19 have significantly increased the risk of oil price changes. These changes are of the main concern of companies for which oil [...] Read more.
The high volatility of commodity prices and various problems that the energy sector has to deal with in the era of COVID-19 have significantly increased the risk of oil price changes. These changes are of the main concern of companies for which oil is the main input in the production process, and therefore oil price determines the production costs. The main goal of this paper is to discover decision rules for a buyer of American WTI (West Texas Intermediate) crude oil call options. The presented research uses factors characterizing the option price, such as implied volatility and option sensitivity factors (delta, gamma, vega, and theta, known as “Greeks”). The performed analysis covers the years 2008–2022 and options with an exercise period up to three months. The decision rules are discovered using association analysis and are evaluated in terms of the three investment efficiency indicators: total payoff, average payoff, and return on investment. The results show the existence of certain ranges of the analyzed parameters for which the mentioned efficiency indicators reached particularly high values. The relationships discovered and recorded in the form of decision rules can be effectively used or adapted by practitioners to support their decisions in oil price risk management. Full article
Show Figures

Figure 1

23 pages, 2992 KiB  
Article
Towards Adaptive Governance of Urban Nature-Based Solutions in Europe and Latin America—A Qualitative Exploratory Study
by Beatriz Kauark-Fontes, César E. Ortiz-Guerrero, Livia Marchetti, Jaime Hernández-Garcia and Fabio Salbitano
Sustainability 2023, 15(5), 4479; https://doi.org/10.3390/su15054479 - 2 Mar 2023
Cited by 15 | Viewed by 4169
Abstract
The concept and application of nature-based solutions (NBS) have been rapidly progressing in Europe and Latin America, reflecting a transition in the way that urban governance is perceived. There is a large call for the collaborative, polycentric, and interdisciplinary governance of NBS. However, [...] Read more.
The concept and application of nature-based solutions (NBS) have been rapidly progressing in Europe and Latin America, reflecting a transition in the way that urban governance is perceived. There is a large call for the collaborative, polycentric, and interdisciplinary governance of NBS. However, research on options for operationalising these governance processes in different contexts is still insufficient. This study explores and analyses the operationalisation of NBS adaptive governance in Europe and Latin America. Seven cities that are part of the project EU-H2020 CONEXUS have been selected as case studies: Barcelona, Bogotá, Buenos Aires, Lisbon, Santiago de Chile, São Paulo, and Turin. This contribution aims to (i) understand how NBS governance processes are managed; (ii) identify the main positive and negative factors that influence NBS adaptive governance; and (iii) understand common factors and relationships that can hinder or drive forward adaptive governance for NBS in the investigated contexts. The results revealed common priorities indicating a shared pathway for Europe and Latin America; however, context-dependent specificities were also observed. These findings can be used to support cities in both European and American contexts in developing plans and actions for the more efficient enabling of NBS implementation and governance through adaptive governance. Full article
Show Figures

Figure 1

17 pages, 453 KiB  
Article
Pricing and Hedging Bond Power Exchange Options in a Stochastic String Term-Structure Model
by Lloyd P. Blenman, Alberto Bueno-Guerrero and Steven P. Clark
Risks 2022, 10(10), 188; https://doi.org/10.3390/risks10100188 - 27 Sep 2022
Cited by 3 | Viewed by 2124
Abstract
We study power exchange options written on zero-coupon bonds under a stochastic string term-structure framework. Closed-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding expressions for call power options and constant underlying elasticity in [...] Read more.
We study power exchange options written on zero-coupon bonds under a stochastic string term-structure framework. Closed-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding expressions for call power options and constant underlying elasticity in strikes (CUES) options. Sufficient conditions for the equivalence of the European and the American versions of bond power exchange options are provided and the put-call parity relation for European bond power exchange options is established. Finally, we consider several applications of our results including duration and convexity measures for bond power exchange options, pricing extendable/accelerable maturity zero-coupon bonds, options to price a zero-coupon bond off of a shifted term-structure, and options on interest rates and rate spreads. In particular, we show that standard formulas for interest rate caplets and floorlets in a LIBOR market model can be obtained as special cases of bond power exchange options under a stochastic string term-structure model. Full article
27 pages, 450 KiB  
Article
Pricing European and American Installment Options
by Joanna Goard and Mohammed AbaOud
Mathematics 2022, 10(19), 3494; https://doi.org/10.3390/math10193494 - 25 Sep 2022
Cited by 1 | Viewed by 2121
Abstract
This paper derives accurate and efficient analytic approximations for the prices of both European and American continuous-installment call and put options. The solutions are in the form of series in time-to-expiry with explicit formulae for the coefficients provided. Unlike other solutions for installment [...] Read more.
This paper derives accurate and efficient analytic approximations for the prices of both European and American continuous-installment call and put options. The solutions are in the form of series in time-to-expiry with explicit formulae for the coefficients provided. Unlike other solutions for installment options, no Laplace inverses are needed, and there is no need to solve complex, recursive systems or integral equations. The formulae provided fast yield and accurate solutions not just for the prices, but also for the critical boundaries. We also compare the solutions with those obtained using an existing method and show that it surpasses it delivering more correct option prices and critical stock prices. Full article
Show Figures

Figure 1

11 pages, 261 KiB  
Article
Risk-Neutral Pricing Method of Options Based on Uncertainty Theory
by Hong Huang and Yufu Ning
Symmetry 2021, 13(12), 2285; https://doi.org/10.3390/sym13122285 - 1 Dec 2021
Cited by 3 | Viewed by 2552
Abstract
In order to rationally deal with the belief degree, Liu proposed uncertainty theory and refined into a branch of mathematics based on normality, self-duality, sub-additivity and product axioms. Subsequently, Liu defined the uncertainty process to describe the evolution of uncertainty phenomena over time. [...] Read more.
In order to rationally deal with the belief degree, Liu proposed uncertainty theory and refined into a branch of mathematics based on normality, self-duality, sub-additivity and product axioms. Subsequently, Liu defined the uncertainty process to describe the evolution of uncertainty phenomena over time. This paper proposes a risk-neutral option pricing method under the assumption that the stock price is driven by Liu process, which is a special kind of uncertain process with a stationary independent increment. Based on uncertainty theory, the stock price’s distribution and inverse distribution function under the risk-neutral measure are first derived. Then these two proposed functions are applied to price the European and American options, and verify the parity relationship of European call and put options. Full article
(This article belongs to the Special Issue Fuzzy Set Theory and Uncertainty Theory)
21 pages, 1690 KiB  
Article
Efficient Variance Reduction for American Call Options Using Symmetry Arguments
by François-Michel Boire, R. Mark Reesor and Lars Stentoft
J. Risk Financial Manag. 2021, 14(11), 504; https://doi.org/10.3390/jrfm14110504 - 20 Oct 2021
Cited by 2 | Viewed by 2453
Abstract
Recently it was shown that the estimated American call prices obtained with regression and simulation based methods can be significantly improved on by using put-call symmetry. This paper extends these results and demonstrates that it is also possible to significantly reduce the variance [...] Read more.
Recently it was shown that the estimated American call prices obtained with regression and simulation based methods can be significantly improved on by using put-call symmetry. This paper extends these results and demonstrates that it is also possible to significantly reduce the variance of the estimated call price by applying variance reduction techniques to corresponding symmetric put options. First, by comparing performance for pairs of call and (symmetric) put options for which the solution coincides, our results show that efficiency gains from variance reduction methods are different for calls and symmetric puts. Second, control variates should always be used and is the most efficient method. Furthermore, since control variates is more effective for puts than calls, and since symmetric pricing already offers some variance reduction, we demonstrate that drastic reductions in the standard deviation of the estimated call price is obtained by combining all three variance reduction techniques in a symmetric pricing approach. This reduces the standard deviation by a factor of over 20 for long maturity call options on highly volatile assets. Finally, we show that our findings are not particular to using in-sample pricing but also hold when using an out-of-sample pricing approach. Full article
(This article belongs to the Special Issue Predictive Modeling for Economic and Financial Data)
Show Figures

Figure 1

Back to TopTop