Stochastic and Statistical Analysis of Cnoidal, Snoidal, Dnoidal, Hyperbolic, Trigonometric and Exponential Wave Solutions of a Coupled Volatility Option-Pricing System. [PDF]
Entropy (Basel)Abdalgadir LM +3 more
europepmc +1 more source
Pricing of Shanghai stock exchange 50 ETF options based on different volatility models. [PDF]
PLoS One, 2023 Wu Q, Kuang X, Wu B, Xu X.
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An Hilbert space approach for a class of arbitrage free implied volatilities models
We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to
Brace, Alan +2 more
core
On the mean-standard deviation frontier [PDF]
This paper presents a characterization of the mean standard deviation frontier (MSF) in terms of pricing and averaging securities and explores the geometry of these securities relative to the geometry of the MSF.
Eneas A. Caldiño
core
Assessment of carbon-abatement pricing to maximize the value of electrolytic hydrogen in emissions-intensive power sectors. [PDF]
Nat CommunOkunlola A, Davis M, Kumar A.
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Enhancing the pricing efficiency of financial assets with an optimized bayesian network based on efficient fusion. [PDF]
PLoS OneFu Q, Li X.
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Arbitrage and convergence: Evidence from Mexican ADRs [PDF]
This paper investigates the convergence between the prices of ADRs and Mexican traded shares using a sample of 21 dually listed shares. Since both markets have similar trading hours, standard arbitrage considerations should make persistent deviation from
Samuel Koumkwa, Raúl Susmel
core
Forecasting of virtual power plant generating and energy arbitrage economics in the electricity market using machine learning approach. [PDF]
Sci RepSarathkumar TV +5 more
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Taxation and Transaction Costs in a General Equilibrium Asset Economy [PDF]
Most financial asset pricing models assume frictionless, competitive markets that imply the absence of arbitrage opportunities. Given the absence of arbitrage opportunities and complete asset markets, there exists a unique martingale measure that implies
Frank Milne, Xing Jin
core
Distribution Approach to Local Volatility for European Options in the Merton Model with Stochastic Interest Rates. [PDF]
Entropy (Basel)Nowak P, Gatarek D.
europepmc +1 more source