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

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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.




Cuomo, S., Di Somma, V., & Piccialli, F. (2017). Remarks on a computational estimator for the barrier option pricing in an IoT scenario. In Procedia Computer Science (Vol. 113, pp. 513–518). Elsevier B.V.

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