Results 31 to 40 of about 20,572,131 (220)

PENENTUAN KONTRAK OPSI TIPE EROPA MENGGUNAKAN MODEL SIMULASI VARIANCE GAMMA (VG)

E-Jurnal Matematika, 2023
Options are used as a hedge against stock price uncertainty brought on by unstable stock prices fluctuation. The price of an option contract can be determined using a variety of approaches, one of which is the Variance Gamma. The purpose of this study is
NI KADEK LANI PITRAYANI, KOMANG DHARMAWAN, I NYOMAN WIDANA   +2 more
doaj   +1 more source

Counterintuitive Photochemistry of an Isolated Acridinyl Radical: ConPET via Preassembly, Solvated Electrons, or a Long‐Lived Excited State?

Angewandte Chemie International Edition, Accepted Article.
Photoredox chemistry has seen a dramatic rise in popularity in recent years, but mechanistic understanding has persistently lagged behind reaction development itself. This is particularly true for the emerging area of consecutive photoinduced electron transfer (conPET), which has attracted both great interest due to its ability to activate inert ...
Samuel J. Horsewill, Katherine M. M. Sharrock, Péter P. Fehér, Jack M. Woolley, Imre Pápai, Daniel J Scott   +5 more
wiley   +1 more source

Convergence Numerically of Trinomial Model in European Option Pricing

International Research Journal of Business Studies, 2013
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, Fitriani Agustina, Ririn Sispiyati   +2 more
doaj   +1 more source

Lattice Boltzmann Method for the Generalized Black-Scholes Equation

Advances in Mathematical Physics, 2023
In this paper, an efficient lattice Boltzmann model for the generalized Black-Scholes equation governing option pricing is proposed. The Black-Scholes equation is firstly equivalently transformed into an initial value problem for a partial differential ...
Fangfang Wu, Duoduo Xu, Ming Tian, Yingying Wang   +3 more
doaj   +1 more source

Modeling and Forecasting the CBOE VIX With the TVP‐HAR Model

Journal of Forecasting, EarlyView.
ABSTRACT This study proposes the use of a heterogeneous autoregressive model with time‐varying parameters (TVP‐HAR) to model and forecast the Chicago Board Options Exchange (CBOE) volatility index (VIX). To demonstrate the superiority of the TVP‐HAR model, we consider six variations of the model with different bandwidths and smoothing variables and ...
Wen Xu, Pakorn Aschakulporn, Jin E. Zhang   +2 more
wiley   +1 more source

Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non‐Normality

Journal of Futures Markets, EarlyView.
ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from
Tak Kuen Siu
wiley   +1 more source

Beberapa aspek tentang black-scholes option pricing model

Jurnal Akuntansi dan Auditing Indonesia, 2018
Nobel Ekonomi 1997 diberikan kepada Myron Scholes dan Robert Merton. Myron Scholes bersama Fisher Black memberi landasan yang sangat penting dalam teori sekuritas derivatif dengan menemukan model penilaian opsi Black-Scholes Option Pricing Model (OPM ...
Zaenal Arifin
doaj  

Skewness Premium for Short‐Term Exposure to Squared Market Returns

Journal of Futures Markets, EarlyView.
ABSTRACT Following Kraus and Litzenberger, the skewness of stock returns is often modeled as exposure to the square of the market return. We use a trading strategy in S&P 500 options that creates exposure to the square of the S&P 500 return without affecting other characteristics of a direct index investment.
Martin Wallmeier
wiley   +1 more source

An improved approximate method for solving two-dimensional time-fractional-order Black-Scholes model: a finite difference approach

AIMS Mathematics
In this paper, we considered the two-dimensional fractional-order Black-Scholes model in the Liouville-Caputo sense. The Black-Scholes model was an important tool in the financial market, used for determining option prices in the European-style market ...
Din Prathumwan, Din Prathumwan, Thipsuda Khonwai , Narisara Phoochalong, Inthira Chaiya, Kamonchat Trachoo   +5 more
doaj   +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