Results 41 to 50 of about 1,461 (137)

The Role of Index Fund Ownership in the Era of Say‐on‐Pay

Financial Management, EarlyView.
ABSTRACT We examine whether and how index funds influence executive compensation in the post‐Say‐on‐Pay era. Using the annual reconstitution of the Russell indexes as a source of exogenous variation in index fund ownership, we document a causal effect of index ownership on CEO pay structure.
Kiseo Chung, Hwanki Brian Kim
wiley   +1 more source

Skew Premiums Around Earnings Announcements

Financial Review, EarlyView.
ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley   +1 more source

The Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense

Mathematics, 2018
It is well known that the Black-Scholes model is used to establish the behavior of the option pricing in the financial market. In this paper, we propose the modified version of Black-Scholes model with two assets based on the Liouville-Caputo fractional ...
Panumart Sawangtong, Kamonchat Trachoo, Wannika Sawangtong, Benchawan Wiwattanapataphee   +3 more
doaj   +1 more source

A Comparative Review of Specification Tests for Diffusion Models

International Statistical Review, EarlyView.
Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez, D. Diz‐Castro, M. Febrero‐Bande, W. González‐Manteiga   +3 more
wiley   +1 more source

Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function

International Statistical Review, EarlyView.
Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler, Denis Belomestny, Simos George Meintanis, Emanuele Taufer   +3 more
wiley   +1 more source

Numerical Solution of Fractional Black-Scholes Equation by Using Radial Basis Function (RBF) Approximation Method

پژوهش‌های ریاضی, 2020
Introduction Fractional Differential Calculus (FDC) began in the 17th century and its initial discussions were related to the works of Leibniz, Lagrange, Abel and others.
Sedighe Sharifian, Ali R. Siheili, A. Neisy   +2 more
doaj  

Inscribing Impact: Measurement Practices in the Making of Moral Markets

Journal of Management Studies, EarlyView.
Abstract Moral markets, designed to generate positive impact on pressing social and environmental challenges, are transforming traditional market practices by including more than economic considerations in their operations. The importance of these markets continues to grow as investors, regulators, and consumers increasingly put pressure on companies ...
Guillermo Casasnovas, Lisa Hehenberger, Kyriaki Papageorgiou   +2 more
wiley   +1 more source

Measure‐valued processes for energy markets

Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.
Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

The Development of Fractional Black–Scholes Model Solution Using the Daftardar-Gejji Laplace Method for Determining Rainfall Index-Based Agricultural Insurance Premiums

Mathematics
The Black–Scholes model is a fundamental concept in modern financial theory. It is designed to estimate the theoretical value of derivatives, particularly option prices, by considering time and risk factors. In the context of agricultural insurance, this
Astrid Sulistya Azahra, Muhamad Deni Johansyah, Sukono   +2 more
doaj   +1 more source

About the valuation of American option under Black-Scholes model : a numerical study

Moroccan Journal of Pure and Applied Analysis, 2023
In the history of option pricing, Black-Scholes model is one of the most significant models. In this paper, we present a new numerical strategy for valuing American option pricing problems governed by Black-Scholes model (BSM). Numerical computations are
Malek R.
doaj   +1 more source