A Stochastic Method for Financial IoT Data

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• 作者：Salvatore Cuomo^a ; ^{salvatore.cuomo@unina.it" class="auth_mail" title="E-mail the corresponding author} ; Pasquale De Michele^a ; Vittorio Di Somma^a ; Ardelio Galletti^b
• 关键词：IoT ; derivatives ; Black-Scholes model ; non arbitrage price ; complete market.
• 刊名：Procedia Computer Science
• 出版年：2016
• 出版时间：2016
• 年：2016
• 卷：98
• 期：Complete
• 页码：491-496
• 全文大小：186 K

文摘

The extraction of information from IoT data plays a fundamental role in many fields. In this paper we focus our attention on financial data and we use them to describe derivatives in the Black-Scholes model. This model lets us obtain an expression of the price of a derivative in a complete market with no possibility of arbitrage portfolios. Traders can sell amounts of assets even if they do not own them (i.e., short sellings are allowed) and must pay no frictional costs.