Results 71 to 80 of about 21,084,828 (274)
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 +2 more
wiley +1 more source
Hedging strategy in emerging market: Application long straddle option in gold price index
Jurnal Keuangan dan Perbankan, 2020 This research was conducted to test the implementation of gold price index option contracts using the Black Scholes and GARCH models with a long straddle strategy.
Riko Hendrawan +2 more
doaj +1 more source
Effects of market sentiment in index option pricing: a study of CNX NIFTY index option [PDF]
This paper provides evidence of the role of sentiments in pricing Indian CNX Nifty index call Option during the period from April 2002 to December 2008. It also shows that Black-Scholes option pricing model using the implied volatility of previous day is
Malipeddi, Koteswararao +1 more
core +1 more source
Journal of Sleep Research, EarlyView.ABSTRACT Emotion regulation deficits are a hallmark of adolescent depression, and sleep greatly impacts emotion regulation. Initial data indicate acute mood benefits of slow‐wave sleep deprivation (SWSD) in depressed adults, but it is unclear whether this may occur through improvement in emotion regulation.
João Paulo Lima Santos +2 more
wiley +1 more source
Fractional Black-Scholes Model and Technical Analysis of Stock Price
Journal of Applied Mathematics, 2013 In the stock market, some popular technical analysis indicators (e.g., Bollinger bands, RSI, ROC, etc.) are widely used to forecast the direction of prices.
Song Xu, Yujiao Yang
doaj +1 more source
The Peculiar Logic of the Black-Scholes Model
Philosophia Scientiæ, 2017 The Black-Scholes(-Merton) model of options pricing establishes a theoretical relationship between the “fair” price of an option and other parameters characterizing the option and prevailing market conditions.
J. Weatherall
semanticscholar +1 more source
EMPIRICAL STUDY ON THE PERFORMANCES OF BLACK-SCHOLES MODEL FOR EVALUATING EUROPEAN OPTIONS [PDF]
In this study we aim at analyzing the way the model Black-Scholes works in practice. The data used for analysis refer to European-type call options having as supportassets the CAC-40 money-market index. Our approach will be structured in two parts.
Armeanu, Dan, Vasile, Emilia
core
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
Robust option replication for a Black-Scholes model extended with nondeterministic trends [PDF]
, 2012 Statistical analysis on various stocks reveals long range dependence behavior of the stock prices that is not consistent with the classical Black and Scholes model.
Kloeden, Peter E. +1 more
core
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