Results 11 to 20 of about 1,391,296 (199)
An analysis between implied and realised volatility in the Greek Derivatives Market [PDF]
, 2009 In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with
Chance, D. +4 more
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PERPETUAL CANCELLABLE AMERICAN CALL OPTION [PDF]
Mathematical Finance, 2011 This paper examines the valuation of a generalized American‐style option known as a game‐style call option in an infinite time horizon setting. The specifications of this contract allow the writer to terminate the call option at any point in time for a fixed penalty amount paid directly to the holder.
openaire +3 more sources
Pricing vanilla options using artificial neural networks: Application to the South African market
Cogent Economics & Finance, 2021 In this paper, a feed-forward artificial neural network (ANN) is used to price Johannesburg Stock Exchange (JSE) Top 40 European call options using a constructed implied volatility surface.
Ryno du Plooy, Pierre J. Venter
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Implied Volatility of Call Options and Abnormal Stock Returns: Evidence From Quantile Analysis of Abnormal Return Determinants [PDF]
Mathematics and Modeling in FinanceThe present study aims to assess the impact of implied volatility (IV) extracted from call option prices on abnormal stock returns. IV, as a critical market volatility index, plays an essential role in explaining investor behavior.
Sayyede Elnaz Afzaliyan Boroujeni +2 more
doaj +1 more source
Option Pricing in the Moderate Deviations Regime [PDF]
, 2016 We consider call option prices in diffusion models close to expiry, in an asymptotic regime ("moderately out of the money") that interpolates between the well-studied cases of at-the-money options and out-of-the-money fixed-strike options.
Friz, Peter +2 more
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Pricing European Options under a Fuzzy Mixed Weighted Fractional Brownian Motion Model with Jumps
Fractal and Fractional, 2023 This study investigates the pricing formula for European options when the underlying asset follows a fuzzy mixed weighted fractional Brownian motion within a jump environment.
Feng Xu, Xiao-Jun Yang
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Are Agricultural Options Overpriced?
Journal of Agricultural and Resource Economics, 2011 As agricultural options markets grow, perceptions of overpricing persist among market participants. This study tests the efficiency of corn, soybean, and wheat options by computing trading returns. Several call and put option strategies yield significant
Hernan A. Urcola, Scott H. Irwin
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Other‐Sacrificing Options [PDF]
, 2020 I argue that you can be permitted to discount the interests of your adversaries even though doing so would be impartially suboptimal. This means that, in addition to the kinds of moral options that the literature traditionally recognises, there exist ...
Bader R. +8 more
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Optimal temporal placement of the call in beach volleyball
Cogent Psychology, 2016 The call is a tactical component in beach volleyball attacks. Through the call, the setter indicates to his or her teammate an open spot in the opponent’s court.
Stefan Künzell, Fabian Reffel
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Using Artificial Neural Networks to Find Buy Signals for WTI Crude Oil Call Options
Energies, 2020 Oil price changes significantly influence proper functioning of the entire world economy, which entails the risk of losses. One of the possible ways to reduce this risk is to use some dedicated risk management tools, such as options contracts.
Radosław Puka, Bartosz Łamasz
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