IoT application for the estimation of option price
by Salvatore Cuomo; Pasquale De Michele; Vittorio Di Somma
International Journal of Internet Technology and Secured Transactions (IJITST), Vol. 7, No. 1, 2017

Abstract: In this paper, we develop an app for the estimation of European option price. We assume that in our market model all the assumptions of the Black-Scholes model are valid, in particular the absence of arbitrages opportunities and the log normality of the risk asset: they let us obtain an explicit and simple pricing expression, where the unknown terms are the volatility of the risk asset and the normal distribution. The first value is measured with the Average True Range, while the second one is calculated by using a Romberg quadrature formula.

Online publication date: Fri, 28-Jul-2017

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Internet Technology and Secured Transactions (IJITST):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?


Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com