Results 91 to 100 of about 59,096 (226)
Tournament incentives and reserve management
Risk Management and Insurance Review, Volume 28, Issue 4, Page 499-533, Winter 2025.Abstract This paper examines the impact of internal tournament incentives on reserve management within the property‐liability insurance industry. We find a positive relationship between internal tournament incentives and reserve errors, suggesting that a larger tournament prize is associated with more conservative loss‐reserve management.
Gene Lai +3 more
wiley +1 more source
Pricing of Chooser Option Based on Black-Scholes Model: Case of AAPL Company
, 2022 Like Peng
openalex +2 more sources
On CAPM and Black-Scholes, differing risk-return strategies [PDF]
In their path-finding 1973 paper Black and Scholes presented two separate derivations of their famous option pricing partial differential equation (pde).
Gunaratne, Gemunu H. +1 more
core +1 more source
Asymptotic analysis for stochastic volatility: Edgeworth expansion
, 2010 The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions.
Fukasawa, Masaaki
core +1 more source
Parametric Pricing of Higher Order Moments in S&P500 Options. [PDF]
A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as well as time-varying volatility are priced.
G.C. Lim, G.M. Martin, V.L. Martin
core
Hedging in fractional Black–Scholes model with transaction costs [PDF]
, 2017 Foad Shokrollahi, Tommi Sottinen
openalex +1 more source
, 2012 On a multi-assets Black-Scholes economy, we introduce a class of barrier options. In this model we apply a generalized reflection principle in a context of the finite reflection group acting on a Euclidean space to give a valuation formula and the semi ...
B. C. Hall +15 more
core +1 more source
Convergence Numerically of Trinomial Modelin European Option Pricing
International Research Journal of Business Studies, 2014 A European option is a financial contract which gives its holder a right (but not an obligation) to buy or sell an underlying asset from writer at the time of expiry for a pre-determined price.
Entit Puspita +2 more
doaj
Shadow Price Approximation for the Fractional Black Scholes Model [PDF]
, 2022 Dolemweogo Sibiri Narcisse +2 more
openalex +1 more source
The Use Of The Black Scholes Model In Determining The Price Of The European Type Option
, 2021 Justin Eduardo Simarmata +1 more
openalex +1 more source