Speaker: Dr. Kirill Golubnichiy, Dept of Math & Statistics, Texas Tech University Abstract: We present a new heuristic mathematical model for accurate forecasting of prices of stock options for 1-2 trading days ahead of the present one. This new technique uses the Black-Scholes equation supplied by new intervals for the underlying stock and new initial […]

Speaker: Prof Stylianos Perrakis, John Molson School of Business, Concordia Univ, Montreal Abstract: The stochastic dominance (SD) approach is applied to the valuation of index options in frictionless markets for a wide class of stochastic volatility (SV) processes. SD allows for the derivation of a unique, exponential option pricing kernel based on the physical underlying […]

Speaker: Dr. Yossi Shvimer, Research Associate, School of Finance and Management, SOAS University of London Abstract: A novel hybrid option pricing model using a deep learning neural network has been developed. The hybrid model keeps the traditional option pricing model with the same input parameters while simultaneously adjusting the model with neural network methods to […]