Results 31 to 40 of about 59,096 (226)
Mathematics, 2023 Financial derivatives have developed rapidly over the past few decades due to their risk-averse nature, with options being the preferred financial derivatives due to their flexible contractual mechanisms, particularly Asian options.
Lingling Xu, Hongjie Zhang, Fu Lee Wang
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Business Strategy and the Environment, EarlyView.ABSTRACT Ensuring the resilience of industrial symbiosis networks (ISNs) has emerged as a key concern in the literature. However, existing studies focus on network‐level strategies, neglecting the potential benefits derived from strengthening the links between symbiotic partners.
Melissa Mollica +2 more
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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 +2 more
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Physical Climate Risk in Asset Management
Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT Climate‐related phenomena are increasingly affecting regions worldwide, manifesting as floods, water scarcity, and heat waves, significantly impairing companies' assets and productivity. It is essential for asset managers to quantify the exposure of their portfolios to such risk.
Michele Azzone +3 more
wiley +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 +3 more
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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. +4 more
core +3 more sources
Dynamic Debt With Intensity‐Based Models
Journal of Futures Markets, EarlyView.ABSTRACT This article proposes a dynamic debt model where the face value of debt can change. In particular, our dynamic debt setting allows debt changes ruled by intensity processes that are linked to the firm value through the correlation between the stochastic processes. Analytical solutions are obtained, and we extend the proposed dynamic debt model
João Miguel Reis, José Carlos Dias
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Qualitative financial modelling in fractal dimensions
Financial InnovationThe Black–Scholes equation is one of the most important partial differential equations governing the value of financial derivatives in financial markets. The Black–Scholes model for pricing stock options has been applied to various payoff structures, and
Rami Ahmad El-Nabulsi, Waranont Anukool
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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
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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 +2 more
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