Results 41 to 50 of about 20,840,101 (209)
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 +3 more
wiley +1 more source
A Pure Dual Approach for Hedging Bermudan Options
Mathematical Finance, EarlyView.ABSTRACT This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a “purely dual” algorithm following the spirit of Rogers in the sense that it only relies on the dual pricing formula.
Aurélien Alfonsi +2 more
wiley +1 more source
On the complete model with stochastic volatility by Hobson and Rogers [PDF]
We examine a recent model, proposed by Hobson and Rogers, which generalizes the classical one by Black and Scholes for pricing derivative securities such as options and futures.
Andrea Pascucci, Marco Di Francesco
core
Quantum extension of European option pricing based on the Ornstein-Uhlenbeck process
, 2005 In this work we propose a option pricing model based on the Ornstein-Uhlenbeck process. It is a new look at the Black-Scholes formula which is based on the quantum game theory. We show the differences between a classical look which is price changing by a
Anna Zambrzycka +12 more
core +1 more source
Partial Observability of Implied Volatility Matrices: Identification and Covolatilities Filtering
Mathematical Finance, EarlyView.ABSTRACT Whereas data on implied volatilities are available for a large number of assets, this is less frequently the case of implied covolatilities. We introduce a new approach based on static and dynamic Wishart models to solve this problem of missing data.
Christian Gouriéroux, Yang Lu
wiley +1 more source
Plant Biotechnology Journal, EarlyView.ABSTRACT Polyploidisation is a natural evolutionary mechanism that enhances plant stress tolerance and environmental adaptability; however, its impact on microbiome homeostasis remains poorly understood. In this study, we selected a nascent euploid synthetic hexaploid wheat line (HG116; 2n = 6x = 42, BBAADD) by selfing a triploid F1 hybrid of Triticum ...
Xin He +12 more
wiley +1 more source
Quantum effects in an expanded Black-Scholes model. [PDF]
Eur Phys J B, 2022 Bhatnagar A, Vvedensky DD.
europepmc +1 more source
Option pricing: The empirical tests of the black-scholes pricing formula and the feed-forward network [PDF]
, 2009 In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till ...
Vlasáková Baruníková, Michaela
core
Restoration Ecology, EarlyView.Ongoing ecosystem degradation and loss demand restoration efforts worldwide. In Central Europe, semi‐natural grasslands are in focus, and better understanding of restoration success and its drivers is needed. For practical projects, systematic screening remains lacking.
Leonhard Sommer +6 more
wiley +1 more source
Environmental Pollution Liability Insurance Pricing and the Solvency of Insurance Companies in China: Based on the Black-Scholes Model. [PDF]
Int J Environ Res Public Health, 2023 Chen S, Yang J.
europepmc +1 more source