Results 51 to 60 of about 1,423,638 (199)
Investigating Trading Strategies in Call Option Exchange of Rail Stock and Analyzing Exchange Opportunities [PDF]
سیاستگذاری اقتصادیPurpose: Investors seek solutions in order to manage risks and create security in the market so as to have more control over the value of investment during market fluctuations. For this purpose, various derivatives have been designed.
Soheila Ojaghi +3 more
doaj +1 more source
The Information of Option Volume for Future Stock Prices [PDF]
We present strong evidence that option trading volume contains information about future stock price movements. Taking advantage of a unique dataset from the Chicago Board Options Exchange, we construct put-call ratios from option volume initiated by ...
Allen Poteshman, Jun Pan
core
Optimal Decisions of a Supply Chain With a Risk-Averse Retailer and Portfolio Contracts
IEEE Access, 2019 In this paper, we investigate a supply chain involving one risk-neutral supplier and one risk-averse retailer, where the retailer adopts the conditional value-at-risk (CVaR) criterion as his performance measure.
Han Zhao +4 more
doaj +1 more source
Option prices with call prices [PDF]
, 2012 There exist several methods how more general options can be priced with call prices. In this article, we extend these results to cover a wider class of options and market models. In particular, we introduce a new pricing formula which can be used to price more general options if prices for call options and digital options are known for every strike ...
openaire +2 more sources
A Model of Deferred Callability in Defaultable Debt [PDF]
Banks and other financial institutions raise hybrid capital as part of their risk capital. Hybrid capital has no maturity, but, similarily to most corporate debt, includes an embedded issuer's call option.
Mjøs, Aksel, Persson, Svein-Arne
core
Evaluation of the Reverse Mortgage Option in Korea: A Long Straddle Perspective
International Journal of Financial Studies, 2020 This study explored the option value embedded in a reverse mortgage in Korea through an empirical analysis, using the Black–Scholes option-pricing model. The value of a reverse mortgage is affected by the variation in house prices.
Kyung Jin Choi +2 more
doaj +1 more source
Option Pricing with a Dividend General Equilibrium Model [PDF]
This paper derives a general equilibrium option pricing model for a European call assuming that the economy is exogenously driven by a dividend process following Hamilton's (1989) Markov regime switching model.
Elias Tzavalis, Kyriakos Chourdakis
core
Journal of Applied Mathematics, 2013 We study option pricing with risk-minimization criterion in an incomplete market where the dynamics of the risky underlying asset are governed by a jump diffusion equation.
Xinfeng Ruan +3 more
doaj +1 more source
Determining the implied volatility in the Dupire equation for vanilla European call options
, 2013 The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining the implied volatility, which is a function of the underlying asset, from a collection of
Bellassoued, Mourad +3 more
core +2 more sources
Skewed Normal Distribution Of Return Assets In Call European Option Pricing
Kreano: Jurnal Matematika Kreatif-Inovatif, 2011 Option is one of security derivates. In financial market, option is a contract that gives a right (notthe obligation) for its owner to buy or sell a particular asset for a certain price at a certain time.Option can give a guarantee for a risk that can be
Evy Sulistianingsih
doaj +1 more source