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Stochastic Processes and Their Applications, 1998 The author studies models of a frictionless security market where the prices are continuous processes of bounded \(p\)-variation, \(p\in [1,2)\). Specifically, ``volatility terms'' of the price processes are fractional Brownian motions with index \(1 ...
exaly +4 more sources
The application of the improved option parity arbitrage model in SSE 50ETF option [PDF]
E3S Web of Conferences, 2021 The SSE 50ETF option is China's first stock index option product launched in 2015. For a number of reasons, the options market can sometimes create arbitrage opportunities.
Xu Liu
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Pricing Options with Vanishing Stochastic Volatility
Risks, 2022 In the past years, there has been an extensive investigation of the class of stochastic volatility models for the evaluation of options and complex derivatives.
Loretta Mastroeni
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Arbitrage vs innovation opportunity analysis among MSMEs actors in Surabaya
Jurnal Ekonomi dan Bisnis, 2022 The Covid-19 pandemic has brought changes in various aspects of life, especially in business management. This study aims to examine whether there are differences in the choice of opportunities between arbitrage opportunities and innovation opportunities ...
Damelina Basauli Tambunan +3 more
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Energies, 2023 Large-scale integration of renewable energy sources introduces high levels of uncertainty in power systems. In addressing the inherent uncertainty of renewables, coupling with energy storage systems allows for improved dispatchability, not only in terms ...
Stefanos Tampakakis, Dimitrios Zafirakis
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Games in a foreign exchange market and solutions
Financial Internet Quarterly, 2023 Exchange rate and its related risk management are too important for main participants in foreign exchange markets. There are many approaches developed in the literature for studying risk management say arbitrage detection, say finding replication ...
Habibi Reza
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Diversity and No Arbitrage [PDF]
Stochastic Analysis and Applications, 2014 14 pages, final ...
Herczegh, Attila +2 more
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SSRN Electronic Journal, 2020 We fully characterize the absence of Butterfly arbitrage in the SVI formula for implied total variance proposed by Gatheral in 2004. The main ingredient is an intermediary characterization of the necessary condition for no arbitrage obtained for any model by Fukasawa in 2012 that the inverse functions of the -d1 and -d2 of the Black-Scholes formula ...
Claude Martini, Arianna Mingone
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IEEE Access, 2020 Energy storage plays a significant role in improving the stability of distributed energy, improving power quality and peak regulation in the micro-grid system, which is of great significance to the sustainable development of energy.
Yunjun Yu, Zhenfen Cai, Yushui Huang
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