دانلود رایگان مقاله انگلیسی برآورد قیمت گذاری انتخاب موانع در یک سناریوی اینترنت اشیا - نشریه الزویر

Abstract

IoT systems are able to manage very great amount of different types of data. In our paper we propose a mobile app which uses data processed by an IoT framework to estimate the price of a European barrier price. This software is based on an algorithm: in input it receives the values of maturity, strike price, interest rate, barrier level and in output it gives the value of the price. The algorithm implements a mathematical procedure involving numerical and statistical issues, as quadrature formulas and statistical tests. The validity of our methodology is verified by applying it to a real case.

4. Conclusions

In this paper we have presented a numerical and statistical framework for the evaluation of European barrier option price in a Black–Scholes model, characterized by the following assumptions: (i) completeness of the market; (b) absence of arbitrages; (c) possibility of short selling; (d) absence of any frictions; (e) risky asset described by a log-normal process. This algorithm has been implemented in a mobile app in an IoT scenario: this approach can communicate and store large amounts of data and gives traders updated information of different nature.

Our procedure involves mathematical tools, as quadrature formulas and statistical testing, and it has been used for the resolution of a real case. Our procedure has been applied to discuss the problem in a very simple case, in which financial parameters are constant and exogenous. In the future our are goals is the extension of our methodology to the more complex options with stochastic and time dependent volatility.