Results 61 to 70 of about 31,684 (198)

New analytic approach to address Put - Call parity violation due to discrete dividends [PDF]

, 2014
The issue of developing simple Black-Scholes type approximations for pricing European options with large discrete dividends was popular since early 2000's with a few different approaches reported during the last 10 years.
Buryak, Alexander, Guo, Ivan
core  

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

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, Nagarajan, Thirukumaran   +1 more
core   +1 more source

Perpetual Futures Pricing

Mathematical Finance, EarlyView.
ABSTRACT Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no‐arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and ...
Damien Ackerer, Julien Hugonnier, Urban Jermann   +2 more
wiley   +1 more source

Convergence analysis of Crank-Nicolson and Rannacher time-marching [PDF]

, 2005
This paper presents a convergence analysis of Crank-Nicolson and Rannacher time-marching methods which are often used in finite difference discretisations of the Black-Scholes equations.
Carter, R., Giles, M. B.
core   +1 more source

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source

Digitalisation of International Trade in Intellectual Properties: An Approach Based on the Utility Theory of Technology Value

The World Economy, EarlyView.
ABSTRACT In the era of globalisation and digital transformation, international trade has expanded beyond traditional goods and services to include the exchange of intellectual properties (IPs), particularly technology. As intangible assets become key drivers of global economic growth, accurately valuing them remains a complex challenge due to their ...
Xiaolan Fu, Jing Zhang, Chao Ai, Xiaoqing (Maggie) Fu   +3 more
wiley   +1 more source

Using a Mix of Finite Difference Methods and Fractional Differential Transformations to Solve Modified Black–Scholes Fractional Equations

Mathematics
This paper discusses finding solutions to the modified Fractional Black–Scholes equation. As is well known, the options theory is beneficial in the stock market.
Agus Sugandha, Endang Rusyaman, Sukono, Ema Carnia   +3 more
doaj   +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