Results 21 to 30 of about 1,749,908 (279)

Pricing methods for $α$-quantile and perpetual early exercise options based on Spitzer identities [PDF]

Quantitative Finance 20.6 (2020): 899-918, 2021
We present new numerical schemes for pricing perpetual Bermudan and American options as well as $\alpha$-quantile options. This includes a new direct calculation of the optimal exercise barrier for early-exercise options. Our approach is based on the Spitzer identities for general L\'evy processes and on the Wiener-Hopf method.
arxiv   +1 more source

An accurate solution for the generalized Black-Scholes equations governing option pricing

AIMS Mathematics, 2020
Today industries related to finance are essentially implementing advanced mathematical tools. In 1973, Fisher Black and Myron Scholes developed an eminent stochastic model which later coined as Black-Scholes differential equations for option pricing ...
Ashish Awasthi, Riyasudheen TK
doaj   +1 more source

Social Influence and Saving Behavior among small business owners in Uganda: The mediating role of Financial Literacy

Journal of Economics and Financial Analysis, 2021
The aim of this study was to examine the direct and indirect effect of social influence and financial literacy on saving behavior Explanatory research design and systematic sampling technique was used to collect data with the aid of a questionnaire from ...
Eva MPAATA, Naomy KOSKEI, Ernest SAINA
doaj   +1 more source

Bell Pepper Biowaste Products as Medicinally Valuable Nutraceuticals: A Comprehensive Review [PDF]

المجلة العراقية للصيدلة, 2023
Background: The numerous additional valued substances present within plant biowaste products have a wide range of candidates regarding their recycling, promoting the idea of the circular economy.
Areej Hazem Alyamoor, Yasser Fakri Mustafa   +1 more
doaj   +1 more source

Alpha-CIR model with branching processes in sovereign interest rate modeling [PDF]

Finance and Stochastics, 2016
We introduce a class of interest rate models, called the α\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength ...
Y. Jiao, Chunhua Ma, Simone Scotti
semanticscholar   +1 more source

A new trading algorithm with financial applications

Quantitative Finance and Economics, 2020
The gravity equation is a useful tool for trading, but also for financial services as recently found. This paper tries to adapt modern theories of gravity equation for these services to a novel theory on trading, for both bilateral and multilateral trade,
Guillermo Peña
doaj   +1 more source

Risk-averse estimates of effective properties in heterogeneous elasticity

Comptes Rendus. Mécanique, 2023
In this work, we propose a theoretical framework for computing pessimistic and optimistic estimates of effective properties in the case of heterogeneous elastic materials with uncertain microscopic elastic properties.
Bleyer, Jeremy
doaj   +1 more source

How the pandemic taught us to turn smart beta into real alpha

Journal of Asset Management, 2020
The ongoing COVID-19 pandemic has strongly reminded equity investors that rare but extreme events occur from time to time. At the individual firm level, such events also impact the likelihood of bankruptcy, a feature that is not well represented in the ...
Christopher Kantos, D. Dibartolomeo
semanticscholar   +1 more source

Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level [PDF]

Journal of Mathematical Finance, Vol.8, No.1, pp.197-226 (2018), 2017
We study the asymptotic behavior of the difference $\Delta \rho ^{X, Y}_\alpha := \rho _\alpha (X + Y) - \rho _\alpha (X)$ as $\alpha \rightarrow 1$, where $\rho_\alpha $ is a risk measure equipped with a confidence level parameter $0 < \alpha < 1$, and where $X$ and $Y$ are non-negative random variables whose tail probability functions are regularly ...
arxiv   +1 more source

Information geometry and $α$-parallel prior of the beta-logistic distribution [PDF]

Communications in Statistics: Theory and Methods, 2024, 2023
The hyperbolic secant distribution has several generalizations with applications in finance. In this study, we explore the dual geometric structure of one such generalization, namely the beta-logistic distribution. Recent findings also interpret Bernoulli and Euler polynomials as moments of specific random variables, treating them as special cases ...
arxiv   +1 more source