Results 61 to 70 of about 32,934 (189)
Group classification of a generalized Black–Scholes–Merton equation [PDF]
Communications in Nonlinear Science and Numerical Simulation, 2014 25 ...
Bozhkov, Y., Dimas, S.
openaire +2 more sources
Skew Premiums Around Earnings Announcements
Financial Review, EarlyView.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
An Alternative Method for Analytical Solutions of Two-Dimensional Black-Scholes-Merton Equation
Journal of Applied Mathematics, 2023 We present a method of deriving analytical solutions for a two-dimensional Black-Scholes-Merton equation. The method consists of three changes of variables in order to reduce the original partial differential equation (PDE) to a normal form and then ...
Jun Yu, Michael J. Tomas
doaj +1 more source
A Comparative Review of Specification Tests for Diffusion Models
International Statistical Review, EarlyView.Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez +3 more
wiley +1 more source
Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function
International Statistical Review, EarlyView.Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler +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 +3 more
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 +2 more
wiley +1 more source
AIMS MathematicsIn this paper, we considered the two-dimensional fractional-order Black-Scholes model in the Liouville-Caputo sense. The Black-Scholes model was an important tool in the financial market, used for determining option prices in the European-style market ...
Din Prathumwan +5 more
doaj +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
An adaptive moving mesh method for a time-fractional Black–Scholes equation
Advances in Difference Equations, 2019 In this paper we study the numerical method for a time-fractional Black–Scholes equation, which is used for option pricing. The solution of the fractional-order differential equation may be singular near certain domain boundaries, which leads to ...
Jian Huang, Zhongdi Cen, Jialiang Zhao
doaj +1 more source