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Option strategies: Good deals and margin calls [PDF]
Journal of Financial Markets, 2006 We investigate the risk and return of a variety of trading strategies involving options on the S&P 500. Overall, we find that strategies that short options constitute very good deals. However, exploiting these good deals can be extremely difficult. Trading costs and margin requirements severely condition the implementation of the option strategies ...
Santa-Clara, Pedro, Saretto, Alessio
openaire +3 more sources
Pediatric Blood &Cancer, EarlyView.ABSTRACT Purpose Although not always achieved, complete chemotherapy‐induced nausea and vomiting (CINV) control is the conventional goal of CINV prophylaxis. In this two‐center, mixed‐methods study, we sought to understand the preferences of adolescent patients and family caregivers for CINV control endpoints.
Haley Newman +8 more
wiley +1 more source
Analysis of Nova 1 strategy formed by barrier options and its application in hedging against a price drop in oil market [PDF]
Acta Montanistica Slovaca, 2015 This paper investigates hedging analysis against an underlying price drop by using the Nova 1 strategy formed by standard vanilla and barrier options. There are used European down and knock-in put options together with barrier call options.
Michal Šoltés, Monika Harčariková
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Pediatric Blood &Cancer, EarlyView.ABSTRACT Background Nurses are central to cancer care for children and adolescents, yet no comprehensive synthesis has defined essential core competencies for pediatric oncology nursing (PON) practice internationally, particularly in Latin America and the Caribbean (LAC).
Luís Carlos Lopes‐Júnior +7 more
wiley +1 more source
Empirical examination of the Black–Scholes model: evidence from the United States stock market
Frontiers in Applied Mathematics and StatisticsOption pricing is crucial in enabling investors to hedge against risks. The Black–Scholes option pricing model is widely used for this purpose. This paper investigates whether the Black–Scholes model is a good indicator of option pricing in the United ...
Monsurat Foluke Salami
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International Journal of Mathematics and Mathematical Sciences, 2021 In this article, we present an approach which allows taking into account the effect of extreme values in the modeling of financial asset returns and in the valorisation of associated options.
Abba Mallam Hassane +3 more
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Order imbalance and commonality: Evidence from the options market
Borsa Istanbul Review, 2022 Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market.
John Omole, Ahmet Sensoy, Guzhan Gulay
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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 +3 more
doaj
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 +2 more
doaj +1 more source
Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
, 2009 The distribution of the returns for a stock are not well described by a normal probability density function (pdf). Student's t-distributions, which have fat tails, are known to fit the distributions of the returns.
Bakshi +24 more
core +1 more source