Results 21 to 30 of about 1,423,638 (199)
Sensitivity of option contracts
Business: Theory and Practice, 2013 There are plenty of reasons why investors use option contracts in their portfolios. The main reason for using such contracts or their strategies is to hedge against risk concerned with the uncertainty of underlying asset price movements.
Raimonda Martinkute-Kauliene
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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
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The Application of Delta Gamma Normal Value at Risk to Measure the Risk in the Call Option of Stock
JTAM (Jurnal Teori dan Aplikasi Matematika)Call options of stock have a nonlinear dependence on market risk factors, thus encouraging the development of a method capable of measuring the risk of call option of stock, namely the Delta Gamma Normal Value at Risk (DGN VaR) method. The DGN VaR method
Ayu Astuti +3 more
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Hedging of Sales by Zero-cost Collar and its Financial Impact [PDF]
Journal of Competitiveness, 2012 The zero-cost option structures appeared in 90´s and became popular tool of hedging. They come of combination of standard and also exotic option. The paper deals with the most famous of them - zero-cost collar strategy.
Bartoňová Marie
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Residue Sum Formula for Pricing Options under the Variance Gamma Model
Mathematics, 2021 We present and prove a triple sum series formula for the European call option price in a market model where the underlying asset price is driven by a Variance Gamma process.
Pedro Febrer, João Guerra
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Call Option Prices Based on Bessel Processes [PDF]
Methodology and Computing in Applied Probability, 2009 14 pages, 2 figures (Figure 1. includes 6 sub-figures, Figure 2. includes 10 sub-figures)
Yor, Marc, Yen, J.-Y.
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Multi-asset option pricing using an information-based model
Scientific African, 2020 Diversification of assets by an investor offers reduced exposure to risk compared to investing in a single asset. A multi-asset option gives an investor this advantage as its payout depends on the overall performance of several underlying assets.
Cynthia Ikamari +2 more
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Valuation of European Style Compound Option Written on European Style Currency and Power Options
International Journal of Analysis and Applications, 2020 The aim of the paper is paper is twofold. Firstly, we will derive an explicit closed formula for pricing the compound call option contingent upon a currency call option.
Javed Hussain
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Single Stock Call Options as Lottery Tickets [PDF]
SSRN Electronic Journal, 2016 This paper investigates whether the overpricing of out-of-the money single stock calls can be explained by Tversky and Kahneman's (1992) cumulative prospect theory (CPT). We argue that these options are overpriced because investors overweight small probability events and overpay for such positively skewed securities, i.e., characteristics of lottery ...
Félix, Luiz +2 more
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Option strategies: Good deals and margin calls [PDF]
Journal of Financial Markets, 2006 We investigate the risk and return of a variety of trading strategies involving options on the S&P 500. Overall, we find that strategies that short options constitute very good deals. However, exploiting these good deals can be extremely difficult. Trading costs and margin requirements severely condition the implementation of the option strategies ...
Santa-Clara, Pedro, Saretto, Alessio
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