Remarks on a computational estimator for the barrier option pricing in an IoT scenario

Abstract

The importance of derivatives in financial markets has known an exponential growth in the last decades, especially in risk management and speculation fields: this explains researchers' interest in answering questions about this kind of contracts. In particular, in this paper we restrict our attention on European vanilla and barrier options, and we propose a statistical procedure to solve efficiently the problem of determining the no arbitrage price of this type of derivatives in an IoT context: starting form an Internet of Things (IoT) data flow, an IoT system takes information from several sources and stores it into a suitable database; this information is used in our estimation problem. Our scheme is based on some strong assumptions about the market model, in particular the completeness of the market, the log-normality of the underlying asset with a constant volatility. We conclude this paper with an application of our framework to a real case. Peer-review under responsibility of the Conference Program Chairs.