Results 51 to 60 of about 79,639 (196)
Why do firms strategically delay payments of corporate loans?
Journal of Financial Research, EarlyView.Abstract Firms may prefer to delay some loan payments while continuing to service others because of lender and loan characteristics. I explore the impact of bank‐level and bank‐firm‐level indicators on the strategic delay behaviors of nonfinancial corporations. Three factors play a key role in their strategic delay decisions.
Ahmet Deryol
wiley +1 more source
Long memory stochastic volatility in option pricing
, 2004 The aim of this paper is to present a simple stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range dependence.
Fedotov, Sergei, Tan, Abby
core +4 more sources
Why Have CEO Pay Levels Become Less Diverse?
The Journal of Finance, EarlyView.ABSTRACT This paper documents a new stylized fact: the cross‐sectional variation in CEO pay levels has declined precipitously in recent years. We offer one explanation for this decline, namely, firms are increasingly benchmarking CEO compensation to industry peers closest in size, thereby creating pay clusters.
TORSTEN JOCHEM +2 more
wiley +1 more source
Numerický model oceňování evropské kupní opce [PDF]
, 2010 In this paper a mathematical model of European call options prizing is presented. This model is based on reduced Black-Scholes partial differential equation, discretized employing the finite difference method. The results of this model and of the exact
Seinerová, Kateřina
core +1 more source
Revisiting the Black-Scholes equation [PDF]
, 1998 In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his continuous-time consumption-portfolio problem, deriving general equilibrium relationships among the securities in the asset ...
openaire +2 more sources
Solution of the Black-Scholes equation using artificial neural networks
Journal of Physics: Conference Series, 2019 The Black-Scholes (BS) equation is a partial differential equation that can be used to compute the value of an option depending on the price of the underlying asset and the remaining time before expiration.
J A González Cervera
semanticscholar +1 more source
Parenthood and CEO Responses to Media Criticism on Pay
Journal of Management Studies, EarlyView.Abstract Research on media coverage of controversial corporate practices typically suggests firms respond instrumentally to mitigate stakeholder reactions. However, we argue that CEOs' moral concerns can sometimes override strategic considerations, because media criticism may expose them to scrutiny from personally valued audiences – for instance ...
Steffen Brenner, Georg Wernicke
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 +3 more
wiley +1 more source
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 +2 more
wiley +1 more source
Option Pricing in a Fractional Brownian Motion Environment [PDF]
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian ...
Cipian Necula
core