Results 41 to 50 of about 1,391,296 (199)
Penentuan Nilai Opsi Call Eropa Dengan Pembayaran Dividen
Sainsmat, 2016 Fluktuasi harga saham menyebabkan perdagangan saham memiliki resiko. Opsi merupakan alternatif untuk mengurangi resiko dalam perdagangan saham. Opsi Eropa adalah suatu kontrak keuangan yang memberikan hak, bukan kewajiban, kepada holder, untuk membeli ...
Diana Purwandari
doaj +3 more sources
COMPARISON OF AFTER-TAX OUTCOMES OF OPTION WRITING STRATEGIES: COVERED CALLS VERSUS CASH-SECURED PUTS [PDF]
Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria EconomieThis paper examines the tax implications of covered call and cash-secured put option writing strategies. Although both strategies are widely used to generate income, their tax consequences differ in timing and character of gains.
HALIL D. KAYA, JULIA S. KWOK
doaj
On the volatility of volatility [PDF]
, 2006 The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the "investor fear gauge," the VIX is a measure of the implied volatility
Black +3 more
core +2 more sources
Exchangeability type properties of asset prices
, 2011 In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call symmetry ...
Molchanov, Ilya, Schmutz, Michael
core +1 more source
The Application of Delta Gamma Normal Value at Risk to Measure the Risk in the Call Option of Stock
JTAM (Jurnal Teori dan Aplikasi Matematika)Call options of stock have a nonlinear dependence on market risk factors, thus encouraging the development of a method capable of measuring the risk of call option of stock, namely the Delta Gamma Normal Value at Risk (DGN VaR) method. The DGN VaR method
Ayu Astuti +3 more
doaj +1 more source
Short-time asymptotics for marginal distributions of semimartingales [PDF]
, 2012 We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the semimartingale.
Amel Bentata +3 more
core +3 more sources
Exploring the Payoff Mechanism of REDD+ Call Options: A Tropical Country Perspective
Forest Science and TechnologyThe 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
Solving The Black-Scholes Problem Using a Combined Numerical Method (A Case Study of Tehran Stock Exchange) [PDF]
Mathematics and Modeling in FinanceThe Black-Scholes model is one of the most widely used frameworks for pricing options in financial markets. However, its analytical solutions are often limited to idealized conditions, necessitating the use of numerical methods for more complex scenarios.
Mostafa Kebriyayee +3 more
doaj +1 more source
Performance of two zero-cost derivative strategies under different market conditions
Cogent Economics & Finance, 2018 Zero-cost collars are option-based strategies which—by matching prices received and paid for the component derivatives—provide costless protection for stock or index investments.
LJ Basson +2 more
doaj +1 more source
Theoretical Economics Letters, 2018 This paper presents a theoretical model to price foreign currency call options. Currency options are employed in international trade to reduce the risk of loss due to the reduction of revenues obtained in depreciating foreign currency for an exporter, or the escalation of expense from appreciating foreign currency for an importer.
openaire +3 more sources