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RISK ANALYSIS OF GOOGL & AMZN STOCK CALL OPTIONS USING DELTA GAMMA THETA NORMAL APPROACH
BarekengStocks, as investment products, tend to carry risks due to fluctuations. The tendency of stock prices to rise over time leads investors to opt for call options, which are one of the derivative investment products.
Wiji Umiati +3 more
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Proactive Hedging European Call Option Pricing with Linear Position Strategy
Discrete Dynamics in Nature and Society, 2018 Proactive hedging option is an exotic European stock option designed for hedgers. Such option requires option holders to buy in (or sell out) the underlying asset (stock) and allows them to adjust the holdings of the underlying asset per its price ...
Meng Li, Xuefeng Wang, Fangfang Sun
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New Evidence on Price and Volatility Effects of Stock Option Introductions [PDF]
This paper adds to the literature dealing with the effect of derivatives trading on underlying securities by examining option listings from the Netherlands.
Kabir, M.R.
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The Pricing of Derivatives on Assets with Quadratic Volatility [PDF]
The basic model of financial economics is the Samuelson model of geometric Brownian motion because of the celebrated Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the model garantees
Christian Zühlsdorff
core
Joint Modeling of Call and Put Implied Volatility [PDF]
This paper exploits the fact that implied volatilities calculated from identical call and put options have often been empirically found to differ, although they should be equal in theory.
Ahoniemi, Katja, Lanne, Markku
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Option Pricing under Discrete Shifts in Stock Returns [PDF]
In this paper we introduce a pricing model for a European call option when the price of the underlying stock (asset) follows a random walk with Markov chain type of shifts in the drift and volatility parameters according to the regime that the stock ...
Elias Tzavalis, Kyriakos Chourdakis
core
Dynamic hedging of equity call options [PDF]
Estudos de Gestão, 1993 The theory of option pricing assumes generally that options can be replicated through dynamic hedging in the underlying stock. First, we outline the assumptions behind the popular models, such as regarding the distribution of stock returns, and the probability of the terminal stock value reaching certain levels.
João Duque, Dean Paxson
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Investment Decisions under Real Exchange Rate Uncertainty [PDF]
This paper analyzes the depressing effects of real exchange rate uncertainty on investment spending by using option pricing techniques. Investment under uncertainty assumes that investments are irreversible and can be delayed to wait for new information ...
Bahar Erdal
core
A mathematical model for contingent claim pricing in a preannounced policy [PDF]
This paper presents a mathematical model for contingent claim pricing in a preannounced policy. There are some properties in the model. First, one can distinguish the preannouncement effects on the mean and volatility of asset returns.
Fen-Ying Chen
core
Media StatistikaThe option value has a nonlinear dependence relationship on risk factors existing in the capital market. Therefore, this paper considered utilizing Delta Gamma (Theta) Normal Approximation (DGTNA) as a nonlinear approach to determine the change of profit/
Evy Sulistianingsih +4 more
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