Results 31 to 40 of about 79,639 (196)

Time Integrals Under the Black–Scholes–Merton and Margrabe Economies

Journal of Futures Markets, EarlyView.
ABSTRACT The problem of integrating the Black, Scholes, and Merton (BSM) formula with respect to the time variable is paramount for an economist. Inspired by the real options literature, Shackleton and Wojakowski offer analytic formulae for valuing finite maturity (profit) caps and floors that are contingent on continuous flows following a lognormal ...
José Carlos Dias, Mark B. Shackleton, Fernando Correia da Silva, Rafał M. Wojakowski   +3 more
wiley   +1 more source

Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations [PDF]

, 2017
We analyze and calculate the early exercise boundary for a class of stationary generalized Black-Scholes equations in which the volatility function depends on the second derivative of the option price itself. A motivation for studying the nonlinear Black
Grossinho, Maria do Rosario, Kord, Yaser Faghan, Sevcovic, Daniel   +2 more
core   +2 more sources

The Sustainable Black-Scholes Equations [PDF]

, 2017
In incomplete markets, a basic Black-Scholes perspective has to be complemented by the valuation of market imperfections. Otherwise this results in Black-Scholes Ponzi schemes, such as the ones at the core of the last global financial crisis, where always more derivatives need to be issued for remunerating the capital attracted by the already opened ...
Yannick Armenti, Stéphane Crépey, Chao Zhou   +2 more
openaire   +1 more source

Scale dependence in remotely sensed biodiversity: Leveraging continental‐scale imaging spectroscopy from the National Ecological Observatory Network

Remote Sensing in Ecology and Conservation, EarlyView.
Imaging spectroscopy enables large‐scale biodiversity assessment, yet spectral diversity metrics are scale dependent. Across 15 NEON ecosystems, we find that spectral richness increases sub‐linearly from 3600 m2 to 4 km2, whereas spectral divergence shows weak or inconsistent scaling with area, underscoring the importance of scale‐aware interpretation ...
Meghan T. Hayden, Matthew W. Rossi, Laura E. Dee, Kyle Kovach, Cibele H. Amaral, Jacob Nesslage, Madeline Slimp, Rachel S. Meyer, E. Natasha Stavros   +8 more
wiley   +1 more source

Liquid jet capabilities for ultrafast chemistry at the SwissFEL Alvra instrument

Journal of Synchrotron Radiation, EarlyView.
The technical aspects of the Alvra endstation are outlined and its scientific capabilities are demonstrated with commissioning results obtained during the early years of SwissFEL's operation.The Alvra experimental station at the Swiss X‐ray free‐electron laser, SwissFEL, investigates ultrafast dynamics in chemical and biological systems using X‐ray ...
Claudio Cirelli, Emma Victoria Beale, Florian Dworkowski, Victoria Kabanova, Sven Augustin, Gregor Knopp, Chris Milne, Christoph Bostedt, Philip J. M. Johnson, Camila Bacellar   +9 more
wiley   +1 more source

Pseudo Hermitian formulation of Black-Scholes equation

, 2011
We show that the non Hermitian Black-Scholes Hamiltonian and its various generalizations are eta-pseudo Hermitian. The metric operator eta is explicitly constructed for this class of Hamitonians.
Ataullah, Baaquie, Baaquie, Baaquie, Baaquie, Bender, Choustova, Contreras, Haven, Haven, Haven, Henry-Laboredere, Ilinski, Jana, Li, Linetsky, Mantegna, Mostafazadeh, P. Roy, Schaden, T.K. Jana   +20 more
core   +1 more source

Qualitatively Stable Nonstandard Finite Difference Scheme for Numerical Solution of the Nonlinear Black–Scholes Equation

, 2021
In this paper, we use a numerical method for solving the nonlinear Black–Scholes partial differential equation of the European option under transaction costs, which is based on the nonstandard discretization of the spatial derivatives.
M. M. Khalsaraei, A. Shokri, Zahra Mohammadnia, H. M. Sedighi   +3 more
semanticscholar   +1 more source

The effect of addback statutes on CEO compensation

Accounting &Finance, Volume 65, Issue 1, Page 793-818, March 2025.
Abstract Exploiting the adoption of addback statutes, which occurred at different times, as exogenous shocks to corporate taxable income, we examine the effect of tax policy changes on the compensation of chief executive officers (CEOs). We provide evidence that CEOs of firms headquartered in states affected by addback statutes experienced a decrease ...
Karel Hrazdil, Gerald Lobo, Ray Zhang, Weiji Zhang   +3 more
wiley   +1 more source

Options hedging under liquidity costs [PDF]

, 2006
Following the framework of Cetin, Jarrow and Protter (CJP) we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of the hedging strategies in a generalized Black-Scholes economy.
Cetin, Umut, Soner, Halil Mete, Touzi, Nizar, Çetin, Umut   +3 more
core  

Mitigating policy uncertainty: What financial markets reveal about firm‐level lobbying

American Journal of Political Science, EarlyView.
Abstract Elections can lead to substantial policy changes and, thus, are a significant source of risk. Firms can respond to such policy uncertainty by lobbying, but it is hard to quantify whether they do so and, if so, how much lobbying benefits them. We construct a new dataset and leverage investors’ expectations of variability in stock returns in the
Kristy Buzard, Nathan Canen, Sebastian Saiegh   +2 more
wiley   +1 more source