Results 11 to 20 of about 20,840,101 (209)

Grass functional traits reflect the long history of fire and grazers in the savannas of Texas

American Journal of Botany, EarlyView.
Abstract Premise Understanding relationships among grass traits, fire, and herbivores may help improve conservation strategies for savannas that are threatened by novel disturbance regimes. Emerging theory, developed in Africa, emphasizes that functional traits of savanna grasses reflect the distinct ways that fire and grazers consume biomass ...
Ashish N. Nerlekar, Daniel Spalink, Joseph W. Veldman   +2 more
wiley   +1 more source

Commodity Option Return Predictability

Journal of Futures Markets, EarlyView.
ABSTRACT This paper investigates the predictability of delta‐hedged commodity option returns using 103 predictors. We estimate several linear and nonlinear machine learning models and forecast ensembles using futures options data on seven commodities.
Constant Aka, Marie‐Hélène Gagnon, Gabriel J. Power   +2 more
wiley   +1 more source

The Quantum Black-Scholes Equation [PDF]

, 2006
Motivated by the work of Segal and Segal on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus.
Accardi, Luigi, Boukas, Andreas
core   +1 more source

Understanding How Dividends Affect Option Prices [PDF]

, 2016
In this paper, we propose a pricing model for stock option valuation. The model is derived from the classical Black-Scholes option pricing equation via the application of the constant elasticity of variance (CEV) model with dividend yield.
Edeki, S.O., Owoloko, E. A., Ugbebor, Olabisi O.   +2 more
core   +1 more source

Volatility Risk and Volatility‐of‐Volatility Risk: State‐Dependent Correlations Between VIX and the S&P 500 Stock Index and Hedging Effectiveness

Journal of Futures Markets, EarlyView.
ABSTRACT Our research is one of the first to provide evidence to distinguish between two types of uncertainty: the volatility (VOL) risk and the volatility‐of‐volatility (VOV) risk. We outline a theoretical framework of state‐dependent correlations between the S&P 500 stock index and volatility index (VIX).
Leon Li, Carl R. Chen
wiley   +1 more source

Major Conundrums and Possible Solutions in DeFi Insurance

International Journal of Finance &Economics, EarlyView.
ABSTRACT This paper empirically explores the early development of insurance projects in the decentralised finance (DeFi) industry, which is based on disruptive technologies like blockchain and smart contracts. A brief history of DeFi is narrated, stressing four risks of DeFi (volatility risk, cyberattack risk, liquidity risk, and regulation risk) and ...
Peng Zhou, Ying Zhang
wiley   +1 more source

A Variational Formulation of European Option Prices in the 1‐Hypergeometric Stochastic Volatility Model

Mathematical Methods in the Applied Sciences, EarlyView.
ABSTRACT The paper proposes a variational analysis of the 1‐hypergeometric stochastic volatility model for pricing European options. The methodology involves the derivation of estimates of the weak solution in a weighted Sobolev space. The weight is closely related to the stochastic volatility dynamic of the model.
José Da Fonseca, Wenjun Zhang
wiley   +1 more source

Optimal hedging of Derivatives with transaction costs

, 2005
We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction).
Avellaneda M., ERIK AURELL, Fleming W. H., Hakanson N., PAOLO MURATORE-GINANNESCHI   +4 more
core   +3 more sources

Advancing the mapping of vegetation structure in savannas using Sentinel‐1 imagery

Remote Sensing in Ecology and Conservation, EarlyView.
As vegetation structure monitoring is important for the understanding and conservation of savanna ecosystems, we explored the utility of C‐band synthetic aperture radar imagery for mapping both grassland and woody vegetation structure in the Greater Serengeti‐Mara Ecosystem.
Vera Thijssen, Marianthi Tangili, Ruth A. Howison, Han Olff   +3 more
wiley   +1 more source

Below the leaves: Integrating above‐ and below‐ground phenology for earth‐system predictability

Functional Ecology, EarlyView.
Read the free Plain Language Summary for this article on the Journal blog. Abstract Almost every aspect of biological systems has phenology—a pattern in activity or function linked to annual cycles. Most terrestrial phenology research focusses on leaves, the onset of leaf out or senescence.
Kendalynn Morris, Richard Nair
wiley   +1 more source