Results 31 to 40 of about 1,423,638 (199)

Option pricing and perfect hedging on correlated stocks

, 2001
We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time tau. This is accomplished by assuming that the underlying noise in the system is derived by an
Arnold, Aurell, Bergman, Black, Bouchaud, Breen, Campbell, Cornalba, Cox, Doob, Fama, Fama, Figlewski, Gardiner, Gihman, Goldstein, Grossman, Harrison, Jaume Masoliver, Josep Perelló, Lighthill, Lo, Markowitz, Masoliver, Merton, Merton, Mynt-U, Perelló, Perelló, Perelló, Perelló, Scott, Sharpe, Stein, Stratonovich, Uhlenbeck, Wilmott   +36 more
core   +1 more source

Dynamic Pricing for Demand Response Considering Market Price Uncertainty

Energies, 2017
Retail energy providers (REPs) can employ different strategies such as offering demand response (DR) programs, participating in bilateral contracts, and employing self-generation distributed generation (DG) units to avoid financial losses in the volatile
Mohammad Ali Fotouhi Ghazvini, João Soares, Hugo Morais, Rui Castro, Zita Vale   +4 more
doaj   +1 more source

Some applications of log-ergodic processes: ergodic trading model and call option pricing using the irrational rotation [PDF]

Mathematics and Modeling in Finance
Due to the increasing popularity of futures trading among financial markets participants, the risk management of futures trading is of particular importance. In this paper, we study a futures trading strategy consisting of a long and a short positions by
Kiarash Firouzi, Mohammad Jelodari Mamaghani   +1 more
doaj   +1 more source

Large liquidity expansion of super-hedging costs [PDF]

, 2012
We consider a financial market with liquidity cost as in \c{C}etin, Jarrow and Protter [2004], where the supply function $S^{\epsilon}(s,\nu)$ depends on a parameter $\epsilon\geq 0$ with $S^0(s,\nu)=s$ corresponding to the perfect liquid situation ...
Possamaï, Dylan, Soner, H. Mete, Touzi, Nizar   +2 more
core   +3 more sources

INSTRUMEN DERIVATIF: PENGENALAN DALAM STRATEGI MANAJEMEN RISIKO PERUSAHAAN

Jurnal Akuntansi dan Keuangan, 2000
Recent investment inflows through the capital and money market has begun to stimulate the Indonesian economy. New investment instruments are offered by the capital market for the purpose of accomodating investor's risk dan return preferences.
Lisa Linawati Utomo
doaj  

On Cox-Ross-Rubinstein Pricing Formula for Pricing Compound Option

International Journal of Analysis and Applications, 2020
The fundamental objective of this paper is twofold. Firstly, to derive the Cox-Ross-Rubinstein type new formula for risk neutral pricing of European compound call option, where the underlying asset is also a European call option.
Javed Hussain, Bareerah Khan
doaj  

Using a Mix of Finite Difference Methods and Fractional Differential Transformations to Solve Modified Black–Scholes Fractional Equations

Mathematics
This paper discusses finding solutions to the modified Fractional Black–Scholes equation. As is well known, the options theory is beneficial in the stock market.
Agus Sugandha, Endang Rusyaman, Sukono, Ema Carnia   +3 more
doaj   +1 more source

When to call on an advantageous restart option

Journal of Sports Analytics, 2018
In an NCAA wrestling match, a coin toss occurs at the end of the first period. The coin toss winner can elect to begin the second period in a position he views as advantageous, in which case his opponent will determine the third period’s starting ...
Ronald G. McGarvey
doaj   +1 more source

A Stochastic Harmonic Oscillator Temperature Model for the Valuation of Weather Derivatives

Mathematics, 2021
Stochastic processes are employed in this paper to capture the evolution of daily mean temperatures, with the goal of pricing temperature-based weather options.
Alessio Giorgini, Rogemar S. Mamon, Marianito R. Rodrigo   +2 more
doaj   +1 more source

A Non-Gaussian Option Pricing Model with Skew [PDF]

, 2004
Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L.
Borland, L., Bouchaud, J. P.
core   +3 more sources