Results 61 to 70 of about 1,423,638 (199)

On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options [PDF]

We extend a framework based on Mellin transforms and show how to modify the approach to value American call options on dividend paying stocks. We present a new integral equation to determine the price of an American call option and its free boundary ...
Frontczak, Robert, Schöbel, Rainer
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Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market [PDF]

This paper investigates the pricing bias in the Swedish OMX-Index Option market and how a stochastic volatility affects European call option prices. The market is purely European and without dividends for the period studied. A CIR square-root process for
Byström , Hans
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Analysis of Options Contract, Option Pricing in Agricultural Products

مجله اقتصاد و توسعه کشاورزی, 2016
Introduction: Risk is an essential component in the production and sale of agricultural products. Due to the nature of agricultural products, the people who act in this area including farmers and businesspersons encounter unpredictable fluctuations of ...
H. Tamidy, H. Mohammadi, D. Seify Gharhitaq, V. Dehbashi   +3 more
doaj  

Exploring the Payoff Mechanism of REDD+ Call Options: A Tropical Country Perspective

Forest Science and Technology
The risks associated with carbon credit transactions discourage private investment in Reducing Emissions from Deforestation and forest Degradation in tropical countries (REDD+) and reduce incentives for forest conservation in tropical countries.
Hyunsung Cho, Yohan Lee
doaj   +1 more source

European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process

Modern Stochastics: Theory and Applications, 2014
European call option issued on a bond governed by a modified geometric Ornstein-Uhlenbeck process, is investigated. Objective price of such option as a function of the mean and the variance of a geometric Ornstein-Uhlenbeck process is studied.
Yu. Mishura, G. Rizhniak, V. Zubchenko
doaj   +1 more source

Callable U.S. Treasury bonds: optimal calls, anomalies, and implied volatilities [PDF]

Previous studies on interest rate derivatives have been limited by the relatively short history of most traded derivative securities. The prices for callable U.S.
Ehud I. Ronn, Robert R. Bliss
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Research on dynamic optimization of grain reserves based on two-way options

Frontiers in Sustainable Food Systems
How to optimize grain reserve management, reduce the cost of grain reserve, improve the efficiency of grain reserve and enhance the comprehensive strength of national grain reserve is a practical problem that the government and society pay close ...
Qijun Jiang, Caixia Chen
doaj   +1 more source

Whose option ratios contain information about future stock prices? [PDF]

Seonmul yeongu
Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios – i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying ...
Bonha Koo, Ryumi Kim
doaj   +1 more source

American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach [PDF]

This paper considers the Fourier transform approach to derive the implicit integral equation for the price of an American call option in the case where the underlying asset follows a jump-diffusion process.
Andrew Ziogas, Carl Chiarella
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Pricing Financial Derivatives using Radial Basis Function generated Finite Differences with Polyharmonic Splines on Smoothly Varying Node Layouts

, 2018
In this paper, we study the benefits of using polyharmonic splines and node layouts with smoothly varying density for developing robust and efficient radial basis function generated finite difference (RBF-FD) methods for pricing of financial derivatives.
Milovanović, Slobodan
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