Parameter Estimation of Local Volatility in Currency Option Valuation

Edeki, S.O.; Adeosun, M. E.; Owoloko, E. A.; Akinlabi, G. O.; Adinya, Ini

doi:10.15866/iremos.v9i2.8161

Cited by 4 publications

(3 citation statements)

References 2 publications

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“…(1) represents the correlation coefficient computed between one time series and the same series lagged by one or more time units. Such correlation model is a good candidate for examining the relationship existing between adjusted volatilities in the market and the investment settings [7] , [8] , [9] , [10] .…”

Section: Experimental Design Materials and Methodsmentioning

confidence: 99%

Datasets for correlation dynamics of cocoa production in South Western Nigeria

et al. 2018

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In the Nigeria economy, cocoa production has been of great importance. This buttresses the fact that cocoa as a product is the leading agricultural export of Nigeria, leaving the country currently as the world fourth largest producer of cocoa, after Ivory Coast, Indonesia and Ghana and the third largest exporter, after Ivory Coast and Ghana. Hence, there is need for the agricultural sector expansion, effective predictive models and reliable price mechanism. This article examines tonnes of cocoa production dataset of the Nigeria agricultural sector for the period of twenty-four (24) years spanning between 1993 to 2016. The Correlation dynamics examined includes the autocorrelation features as affected by the production rate within the considered time interval. The degree of similarity between the dataset and the corresponding lagged version of itself over successive time interval is measured using a serial correlation test while the results mostly favour negative correlation showing that large current values correspond to small values at the specified lag. These dataset can effectively serve as good candidate for agricultural product modelling in terms of forecasting.

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Section: Experimental Design Materials and Methodsmentioning

confidence: 99%

Datasets for correlation dynamics of cocoa production in South Western Nigeria

et al. 2018

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“…This is traceable to the effect of migration caused by the less educational privilege states. The effect of volatility on the economic growth and development of any nation cannot be ignored: this include macroeconomic volatility in relation to finance and education [9] , [10] , [11] , [12] , [13] , [14] , [15] .…”

Section: Experimental Design Materials and Methodsmentioning

confidence: 99%

Dataset on spatial distribution and location of universities in Nigeria

Adeyemi

Edeki

2018

Data in Brief

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Access to quality educational system, and the location of educational institutions are of great importance for future prospect of youth in any nation. These in return, have great effects on the economy growth and development of any country. Thus, the dataset contained in this article examines and explains the spatial distribution of universities in the Nigeria system of education. Data from the university commission, Nigeria, as at December 2017 are used. These include all the 40 federal universities, 44 states universities, and 69 private universities making a total of 153 universities in the Nigerian system of education. The data analysis is via the Geographic Information System (GIS) software. The dataset contained in this article will be of immense assistance to the national educational policy makers, parents, and potential students as regards smart and reliable decision making academically.

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“…Though, they are easier to be computed and are user friendly to a greater extent. Other numerical approaches with more extensive applications to modelling situations in sciences, engineering, finance, and environmental management are considered in terms of analytical or approximate solutions [28][29][30][31][32][33][34][35][36][37].…”

Section: Introductionmentioning

confidence: 99%

Closed-form Solutions of the Time-fractional Standard Black-Scholes Model for Option Pricing using He-separation of Variable Approach

Edeki

Akinlabi

Egara

et al. 2020

Wseas Transactions on Environment and Development

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The Black-Scholes option pricing model in classical form remains a benchmark model in Financial Engineering and Mathematics concerning option valuation. Though, it has received a series of modifications as regards its initial constancy assumptions. Most of the resulting modifications are nonlinear or time-fractional, whose exact or analytical solutions are difficult to obtain. This paper, therefore, presents exact (closed-form) solutions to the time-fractional classical Black-Scholes option pricing model by means of the He-Separation of Variable Transformation Method (HSVTM). The HSVTM combines the features of the He's polynomials, the Homo-separation variable, the modified DTM, which increases the efficiency and effectiveness of the proposed method. The proposed method is direct and straight forward. Hence, it is recommended for obtaining solutions to financial models resulting from either Ito or Stratonovich Stochastic Differential Equations (SDEs).

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Parameter Estimation of Local Volatility in Currency Option Valuation

Cited by 4 publications

References 2 publications

Datasets for correlation dynamics of cocoa production in South Western Nigeria

Datasets for correlation dynamics of cocoa production in South Western Nigeria

Dataset on spatial distribution and location of universities in Nigeria

Closed-form Solutions of the Time-fractional Standard Black-Scholes Model for Option Pricing using He-separation of Variable Approach

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