The valuation of financial derivatives continues to evolve, with option pricing models remaining a cornerstone of modern quantitative finance. Traditional frameworks, such as the Black–Scholes model, ...

Implied volatility is a powerful but often misunderstood metric that plays a major role in options trading. Implied volatility doesn’t tell you what’s going to happen to an option’s price, but it ...

This paper describes the application of a convergence acceleration technique to the binomial option pricing model. The resulting model, termed the accelerated binomial option pricing model, also can ...

I managed to catch some of the first day on Thursday of the "Pricing Model Validation: Mitigating Model Risk" conference. I thought it would be worthwhile going along since firstly the past 12-18 ...

Interest rate hikes can have a significant impact on the pricing of options. Therefore, understanding how interest rate changes can impact option prices is important, as it can affect trading ...

It shows the fuzzy price interval of bond prices with climate risks, which corresponds to the membership function u and the price interval. It can be seen that due to the existence of fuzzy ...

Volatility influences options prices because dramatic price swings amplify gains and losses. While traders can’t look at a crystal ball to see how much volatility the market will endure, implied ...