Results 1 to 10 of about 1,423,638 (199)
Stochastic Volatility Estimation of Stock Prices using the Ensemble Kalman Filter
InPrime, 2021 Volatility plays important role in options trading. In their seminal paper published in 1973, Black and Scholes assume that the stock price volatility, which is the underlying security volatility of a call option, is constant.
Yudi Mahatma, Ibnu Hadi
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Option volume and stock returns: evidence from single stock options on the Korea Exchange [PDF]
Seonmul yeongu, 2021 Informed traders may prefer the options market to the stock market for reasons including the leverage effect, transaction costs, restrictions on short sale.
Mincheol Woo, Meong Ae Kim
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Mathematics, 2022 In this article, we analyse the impact of the introduction of options on an investment portfolio. Our first objective is to derive closed-form formulae for the standard measures of portfolio efficiency: risk premium, risk, Sharpe ratio, and beta, of any ...
David Buckle
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Risks, 2021 It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one
Stephan Höcht +3 more
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PRICING OF CALL OPTIONS USING THE QUASI MONTE CARLO METHOD
Barekeng, 2023 A call option is a type of option that grants the option holder the right to buy an asset at a specified price within a specified period of time. Determining the option price period of time within a certain period of time is the most important part of ...
Indah Oktaviani +2 more
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ACCOUNTING FOR OPTIONS AND ANALYSIS OF USE OF OPTION COMBINATION STRATEGIES
Вісник Київського національного університету імені Тараса Шевченка. Серія Економіка, 2016 The article deals with problems of accounting for options in Ukraine, namely: value expression of initial cost of options, their revaluation, accounting of premiums, financial assets and financial liabilities and variation margin.
I. Derun
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Exotic option pricing model of the Black–Scholes formula: a proactive investment strategy
Frontiers in Physics, 2023 The option is an important derivative tool in financial market, and after decades of development, the option has emerged in various forms. This paper studies an exotic option with a proactive investment strategy.
Jingyu Wu +4 more
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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 +2 more
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PERPETUAL CANCELLABLE AMERICAN CALL OPTION [PDF]
Mathematical Finance, 2011 This paper examines the valuation of a generalized American‐style option known as a game‐style call option in an infinite time horizon setting. The specifications of this contract allow the writer to terminate the call option at any point in time for a fixed penalty amount paid directly to the holder.
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Capital-protected funds with fixing of realized appreciations
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2005 Capital-protected funds of collective investments can be adequate investment opportunity for higher risk aversion investors with lower liquidity requirements. These funds always guarantee mostly 100% investment recovery and an appreciation sometimes.
Roman Ptáček
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