Results 51 to 60 of about 20,840,101 (209)

On CAPM and Black-Scholes, differing risk-return strategies [PDF]

In their path-finding 1973 paper Black and Scholes presented two separate derivations of their famous option pricing partial differential equation (pde).
Gunaratne, Gemunu H., McCauley, Joseph L.   +1 more
core   +1 more source

Tournament incentives and reserve management

Risk Management and Insurance Review, EarlyView.
Abstract This paper examines the impact of internal tournament incentives on reserve management within the property‐liability insurance industry. We find a positive relationship between internal tournament incentives and reserve errors, suggesting that a larger tournament prize is associated with more conservative loss‐reserve management.
Gene Lai, Ahmet Nart, Chia‐Ling Ho, Gunratan Lonare   +3 more
wiley   +1 more source

Understanding the Factors Driving the Demand of Structured Investment Products

Journal of Futures Markets, Volume 45, Issue 9, Page 1154-1181, September 2025.
ABSTRACT Structured products have gained increasing popularity among retail investors over the last decade, both in Europe and in the United States. However, based on data on the ex post realized gains of retail clients investing in certificates, the literature has concluded that the high demand of these products may be hard to rationalize within a ...
Massimo Guidolin, Giacomo Leonetti, Manuela Pedio   +2 more
wiley   +1 more source

Asymptotic analysis for stochastic volatility: Edgeworth expansion

, 2010
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions.
Fukasawa, Masaaki
core   +1 more source

Skewness Premium for Short‐Term Exposure to Squared Market Returns

Journal of Futures Markets, Volume 45, Issue 9, Page 1091-1099, September 2025.
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

Coarse Thinking and Pricing a Financial Option [PDF]

Mullainathan et al [Quarterly Journal of Economics, May 2008] present a formalization of the concept of coarse thinking in the context of a model of persuasion.
Siddiqi, Hammad
core   +1 more source

European Option Pricing of Fractional Black-Scholes Model Using Sumudu Transform and its Derivatives

, 2016
In this work an analytical solution of Fractional Black-Scholes European option pricing equation is solved.The analytical solution is based on Sumudu Transform and its differential and integral properties.The obtained solution is presented in the form of
W. Khan, Faryal Aijaz Ansari
semanticscholar   +1 more source

Long‐Term Effects of an Elephant‐Dominated Browser Community on the Architecture of Trees in a Fenced Reserve

Biotropica, Volume 57, Issue 5, September 2025.
African elephants and meso‐browsers exert substantial top‐down control over the vegetation in African savannas, but their effect on structural relationships in trees remains understudied. Using data collected for more than 3500 trees, we found that 20 years of increasing elephant population reduces tree height and the logged initial growth rate of the ...
Lucie Thel, Dietre Stols, Sarah Orth, D. D. Georgette Lagendijk, Rob Slotow, Jan A. Venter, Herve Fritz   +6 more
wiley   +1 more source

Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion

, 2012
On a multi-assets Black-Scholes economy, we introduce a class of barrier options. In this model we apply a generalized reflection principle in a context of the finite reflection group acting on a Euclidean space to give a valuation formula and the semi ...
B. C. Hall, D. J. Grabiner, I. Molchanov, J. E. Humphreys, Katsuya Takagi, L. Jones, M. Schmutz, P. Biane, P. Carr, P. Carr, P. Carr, R. C. Merton, R. Poulsen, S. Karlin, Y. Imamura, Yuri Imamura   +15 more
core   +1 more source

Registered index‐linked annuities in qualified retirement plans

Journal of Risk and Insurance, Volume 92, Issue 3, Page 665-691, September 2025.
Abstract Many Americans remain financially underprepared for retirement. While automatic enrollment in employer‐sponsored retirement plans has helped, target‐date funds (TDFs) used as default investments have limitations. We propose target‐date registered index‐linked annuities (TD‐RILAs) as a transparent, cost‐effective alternative providing ...
Cameron Ellis, Thorsten Moenig, Jacqueline Volkman‐Wise   +2 more
wiley   +1 more source