Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 8 of 8 for “"Pricing Function"”.
-
Deep Calibration of Option Pricing Models
… a direct inversion of the standard option pricing function using neural network. The indirect framework uses two consecutive steps; the first step estimates the option pricing function using a neural network. This is followed by applying the pre-trained model in a calibration procedure to …
-
Stochastic Volatility Models: Option Price Approximation, Asymptotics and Maximum Likelihood Estimation
… above asymptotic expansion to invert, the option pricing function and extract the latent volatility, thereby overcoming one of the key difficulties in the estimation problem. The method is applied to estimate three popular stochastic volatility models, two of which have not previously been …
-
An Analysis of Efficient Purchasing Strategies for a Soybean Meal User in France
… feedmill. The basic idea is to separate the pricing function which has to be done in a very liquid market and the procurement function which concerns the organization of the physical flow of the goods into the processing plants. In intensive regions of production, gains may be expected from …
-
Pricing Capabilities and Firm Performance: A Socio-Technical Framework for the Adoption of Pricing as a Transformational Innovation
Pricing remains a neglected field not only in scholarly publication but also in the field of practice. Despite practitioners’ and consultants’ literature describing the strong potential positive effect of pricing on the firm profits, a vast majority of firms do not embrace pricing as a full-fledged …
-
An application of short rate modelling involving roll-over risk to caplet pricing
… in order incorporate rollover risk in the pricing of a caplet based on an underlying reference rate. The caplet pricing function is compared to traditional discretised Monte Carlo techniques. The performance of the function proves more accurate and computationally efficient.
-
Essays on Nonparametric Estimation of Asset Pricing Models
… theory with asset price data requires various functional form assumptions about the preferences and beliefs of investors. Nonparametric methods provide a flexible class of models that can prevent misspecification of agents’ utility functions or the distribution of asset returns. Evidence for …
-
Volatility Model Pricing and Calibration with Neural Networks using Bayesian Optimisation
… due to their ability to price options as a function of time to maturity and moneyness. Implied volatilities for these models are accurately estimated using a numerical integration approach, Monte Carlo approach, series expansion approximation or using a two factor finite difference approach. …
-
An investigation of the pricing attitudes and practices of Korean business
… to explore issues related to the development of pricing strategies. Important questions addressed included the importance of this topic and a description of how prices are set or why prices are set. Also, the concern of whether these issues are general across major types of pricing decisions, or …