Results 91 to 100 of about 2,230,299 (390)

European Option Pricing with Transaction Costs in Lévy Jump Environment

Abstract and Applied Analysis, 2014
The European option pricing problem with transaction costs is investigated for a risky asset price model with Lévy jump. By the aid of arbitrage pricing theory and the generalized Itô formula (which includes Poisson jump), the explicit solution to the ...
Jiayin Li, Huisheng Shu, Xiu Kan
doaj   +1 more source

Modulating the Evolution of Metastable CaO* for the Near‐Theoretical Performance Breakthrough of Ni/CeO2‐CaO in Integrated CO2 Capture and Methanation

Advanced Science, EarlyView.
A low‐temperature hydrogen spillover decomposition strategy is proposed to reveal the influence of the CaCO3 parent conversion process on the properties of nascent CaO. Under the guidance of the advanced synthesis strategy, the properties of calcium‐based dual‐functional materials are maximally exploited.
Lifei Wei, Rui Han, Gaoqi Han, Han Yan, Mingke Peng, Zhiyong Li, Chunfeng Song, Qingling Liu   +7 more
wiley   +1 more source

Bridge Copula Model for Option Pricing [PDF]

arXiv, 2011
In this paper we present a new multi-asset pricing model, which is built upon newly developed families of solvable multi-parameter single-asset diffusions with a nonlinear smile-shaped volatility and an affine drift. Our multi-asset pricing model arises by employing copula methods.
arxiv  

Networks in Production: Asset Pricing Implications

Journal of Finance, 2017
In this paper, I examine asset pricing in a multisector model with sectors connected through an input‐output network. Changes in the network are sources of systematic risk reflected in equilibrium asset prices.
Bernard Herskovic
semanticscholar   +1 more source

Asset Pricing with Index Investing [PDF]

SSRN Electronic Journal, 2014
We provide a theoretical analysis of how index investing affects capital market equilibrium. We consider a dynamic exchange economy with heterogeneous investors and two Lucas trees and find that the introduction of index trading increases volatilities and correlation of stock returns.
Chabakauri, Georgy, Rytchkov, Oleg
openaire   +5 more sources

Blockchain‐Empowered H‐CPS Architecture for Smart Agriculture

Advanced Science, EarlyView.
This article reviews the current system architectures for smart agriculture and proposes a blockchain‐empowered hierarchical cyber‐physical system (H‐CPS) framework. It discusses the challenges and outlines future research directions, including the use of semantic blockchain to handle complex data and models.
Xiaoding Wang, Qibin Wu, Haitao Zeng, Xu Yang, Hui Cui, Xun Yi, Md. Jalil Piran, Ming Luo, Youxiong Que   +8 more
wiley   +1 more source

Three Remarks On Asset Pricing [PDF]

arXiv, 2021
We consider the consumption-based asset pricing model, derive a new modified basic pricing equation, and present its successive approximations using the Taylor series expansions of the investor's utility during the averaging time interval. For linear and quadratic Taylor approximations, we derive new expressions for the mean price, mean payoff ...
arxiv  

The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies

Journal of Finance, 2016
We examine the causal effect of limits to arbitrage on 11 well-known asset pricing anomalies using the pilot program of Regulation SHO, which relaxed short-sale constraints for a quasi-random set of pilot stocks, as a natural experiment. We find that the
Yongqiang Chu, D. Hirshleifer, Liangbo Ma   +2 more
semanticscholar   +1 more source

Advance information and asset prices [PDF]

Journal of Economic Theory, 2008
This paper provides a dynamic rational expectations equilibrium model in which investors have heterogeneous information and investment opportunities. Informed investors privately receive advance information about future earnings that is unrelated to current earnings.
Rui Albuquerque, Jianjun Miao, Jianjun Miao, Jianjun Miao   +3 more
openaire   +5 more sources

Screening and Development of Sacrificial Cathode Additives for Lithium‐Ion Batteries

Advanced Energy Materials, EarlyView.
This work presents a computational screening approach to identify Li‐rich transition‐metal oxide sacrificial cathode additives and provides experimental validation of antifluorite‐structured Li6MnO4 as a potential candidate. Abstract This work presents a computational screening approach to identify Li‐rich transition‐metal oxide sacrificial cathode ...
Haegyeom Kim, KyuJung Jun, Nathan Szymanski, Venkata Sai Avvaru, Zijian Cai, Matthew Crafton, Gi‐Hyeok Lee, Stephen E. Trask, Finn Babbe, Young‐Woon Byeon, Peichen Zhong, Donghun Lee, Byungchun Park, Wangmo Jung, Bryan D. McCloskey, Wanli Yang   +15 more
wiley   +1 more source