Results 91 to 100 of about 53,498 (290)
Arbitrage-Free Smoothing of the Implied Volatility Surface [PDF]
The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition ...
Matthias R. Fengler
core
Real-world options: smile and residual risk [PDF]
, 1995 We present a theory of option pricing and hedging, designed to address non-perfect arbitrage, market friction and the presence of `fat' tails. An implied volatility `smile' is predicted.
Bouchaud, Jean-Philippe +2 more
core +2 more sources
Multi-keyword multi-click advertisement option contracts for sponsored search
, 2015 In sponsored search, advertisement (abbreviated ad) slots are usually sold by a search engine to an advertiser through an auction mechanism in which advertisers bid on keywords.
Chen, Bowei +3 more
core +1 more source
Asia‐Pacific Economic History Review, Volume 65, Issue 1, Page 131-159, March 2025.Abstract This study examines the adaptive market hypothesis in the prewar and wartime Japanese stock market using a new market capitalization‐weighted price index. First, we find that the degree of market efficiency varies over time and with major historical events. This implies that the hypothesis is supported in this market.
Kenichi Hirayama, Akihiko Noda
wiley +1 more source
How does financial theory apply to catastrophe-linked derivatives? En empirical test of several princing models [PDF]
, 1999 The paper focuses on the PCS Catastrophe Insurance Option Contracts and empirically tests the degree of agreement between their real quotes and the standard fmancial theory.
Balbás, Alejandro +2 more
core +1 more source
, 2017 This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a generalized stochastic discount factor (SDF) and of the minimum price to attain target ...
Leisen, Dietmar, Platen, Eckhard
core +1 more source
Unpacking Side‐Selling: Experimental Evidence From Rural Mexico
Agricultural Economics, EarlyView.ABSTRACT With the rise of market‐led development, marketing cooperatives have emerged that offer smallholder producers a guaranteed minimum price for their cash crops. Their existence is threatened when members side‐sell a part of their harvest to outside buyers.
Stephen Pitts +2 more
wiley +1 more source
Programação dinâmica aplicada a finanças
Production, 1997 Este artigo mostra a aplicação da programação dinâmica estocástica e o seu uso em Finanças. Um dos objetivos mais usuais da teoria financeira é determinar a trajetória ou caminho ótimo para determinada variável.
Tara Keshar Nanda Baídya +1 more
doaj +1 more source
Infinitely many securities and the fundamental theorem of asset pricing [PDF]
, 2004 Several authors have pointed out the possible absence of martingale measures for static arbitrage-free markets with an infinite number of available securities.
Balbás, Alejandro, Downarowicz, Anna
core +1 more source