Results 31 to 40 of about 58,958 (215)

Arbitrage in the Hermite Binomial Market

Fractal and Fractional, 2022
Much attention has been paid to the arbitrage opportunities in the Black–Scholes model when it is driven by fractional Brownian motions. It is natural to ask whether there exists arbitrage or not when we focus on other fractional processes, such as the ...
Xuwen Cheng, Yiran Zheng, Xili Zhang
doaj   +1 more source

TESTING OF THE BLACK SCHOLES AND GARCH MODELS IN LQ45 USING LONG STRADDLE STRATEGY IN 2009-2018

Jurnal Bisnis dan Manajemen, 2021
The purpose of this study is to examine the implementation of option contracts using Black Scholes and GARCH on the LQ45 index using the long straddle strategy.
Riko Hendrawan, Anggadi Sasmito
doaj   +1 more source

Empirical examination of the Black–Scholes model: evidence from the United States stock market

Frontiers in Applied Mathematics and Statistics
Option pricing is crucial in enabling investors to hedge against risks. The Black–Scholes option pricing model is widely used for this purpose. This paper investigates whether the Black–Scholes model is a good indicator of option pricing in the United ...
Monsurat Foluke Salami
doaj   +1 more source

Pricing of Arithmetic Average Asian Option by Combining Variance Reduction and Quasi-Monte Carlo Method

Mathematics, 2023
Financial derivatives have developed rapidly over the past few decades due to their risk-averse nature, with options being the preferred financial derivatives due to their flexible contractual mechanisms, particularly Asian options.
Lingling Xu, Hongjie Zhang, Fu Lee Wang
doaj   +1 more source

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

Lattice Boltzmann Method for the Generalized Black-Scholes Equation

Advances in Mathematical Physics, 2023
In this paper, an efficient lattice Boltzmann model for the generalized Black-Scholes equation governing option pricing is proposed. The Black-Scholes equation is firstly equivalently transformed into an initial value problem for a partial differential ...
Fangfang Wu, Duoduo Xu, Ming Tian, Yingying Wang   +3 more
doaj   +1 more source

PENENTUAN KONTRAK OPSI TIPE EROPA MENGGUNAKAN MODEL SIMULASI VARIANCE GAMMA (VG)

E-Jurnal Matematika, 2023
Options are used as a hedge against stock price uncertainty brought on by unstable stock prices fluctuation. The price of an option contract can be determined using a variety of approaches, one of which is the Variance Gamma. The purpose of this study is
NI KADEK LANI PITRAYANI, KOMANG DHARMAWAN, I NYOMAN WIDANA   +2 more
doaj   +1 more source

Identifying knowledge barriers to agroforestry adoption and co‐designing solutions to them

People and Nature, EarlyView.
Abstract Compared to monocultures, agroforestry can promote biodiversity, ecosystem functioning and climate resilience, whilst maintaining or enhancing production and profits. Despite this, uptake in temperate regions remains low. Knowledge gaps amongst land managers are a primary barrier to uptake, but little is known about which aspects of ...
Amelia S. C. Hood, Verena Scherfranz, Rosy E. Scholes, Erika Degani, Tom Staton, Alexa Varah, Lena Schaller, Alice L. Mauchline   +7 more
wiley   +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