Results 81 to 90 of about 23,860,994 (221)

Beberapa Aspek Tentang Black-scholes Option Pricing Model [PDF]

, 1998
Nobel Ekonomi 1997 diberikan kepada Myron Scholes dan Robert Merton. Myron Scholes bersama Fisher Black memberi landasan yang sangat penting dalam teori sekuritas derivatif dengan menemukan model penilaian opsi Black-Scholes Option Pricing Model (OPM ...
Arifin, Z. (Zaenal)
core  

Implied volatility of basket options at extreme strikes

, 2014
In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality.
A d’Aspremont, A Gulisashvili, A Gulisashvili, A Gulisashvili, A Gulisashvili, A Lewis, A Medvedev, B Jourdain, E Benhamou, E Eberlein, E Gobet, E Hashorva, E Luciano, H Berestycki, J Figueroa-López, J Schoenmakers, JMP Albin, L Andersen, M Forde, M Forde, MR Tehranchi, O Barndorff-Nielsen, P Tankov, R Cont, R Lee, R Nelsen, S Asmussen, S Benaim, S Benaim, U Cherubini   +29 more
core   +1 more source

Skew Premiums Around Earnings Announcements

Financial Review, Volume 61, Issue 2, Page 533-554, May 2026.
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

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, Darbyshire, Edward W. Piotrowski, Glimm, Haven, Mantegna, Masoliver, Małgorzata Schroeder, Piotrowski, Piotrowski, Shafer, van Kampen, Zellinger   +12 more
core   +1 more source

Inscribing Impact: Measurement Practices in the Making of Moral Markets

Journal of Management Studies, Volume 63, Issue 3, Page 1229-1263, May 2026.
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

Quantum effects in an expanded Black-Scholes model. [PDF]

Eur Phys J B, 2022
Bhatnagar A, Vvedensky DD.
europepmc   +1 more source

The Dynamics of Reading Genre Fiction: Researching and Teaching Interpretive Practices

Reading Research Quarterly, Volume 61, Issue 2, April/May/June 2026.
Conceptual model positioning genre fiction as a site for studying how narrative form organizes reader interpretation, identifying four dynamics—iterability, narrative interest, serialization, and spectacle—to guide empirical research on reading processes.
Robert Jean LeBlanc, Amy Stornaiuolo
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

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