Results 141 to 150 of about 919,859 (183)

Commodity Asian Options: A Closed-Form Formula

SSRN Electronic Journal, 2007
We compute an analytical expression for the moment generating function of the joint random vector consisting of a spot price and its discretely monitored average for a large class of square-root price dynamics. This result, combined with the Fourier transform pricing method proposed by Carr and Madan (1999) [Carr, P., Madan D., 1999.
Gianluca Fusai, Marina Marena, Andrea Roncoroni   +2 more
openaire   +1 more source

Close Form Pricing Formulas for CoCa CoCos

SSRN Electronic Journal, 2013
Contingent Convertibles ("CoCos") are contingent capital instruments which convert into shares, or have a principal write down, if a trigger event takes place. CoCos exhibit the undesirable so-called "death-spiral effect": by actively hedging the equity risk, investors can (unintentionally) force the conversion by making the share price deteriorate and
José Manuel Corcuera, Jose Fajardo, Henrik Jonsson, Wim Schoutens, Arturo Valdivia   +4 more
openaire   +1 more source

A Closed Form Formula for Valuing Mortgages

The Journal of Real Estate Finance and Economics, 1999
We develop a closed form formula for the value of a fixed-rate residential mortgage that includes the provision that the borrower can prepay at any time with no penalty. The value of the mortgage equals the expectation, under the risk neutral probability measure, of the future cash flows.
P. Collin-Dufresne, John P. Harding
openaire   +1 more source

Closed form of the rotational Crofton formula

Mathematische Nachrichten, 2011
AbstractThe closed form of a rotational version of the famous Crofton formula is derived. In the case where the sectioned object is a compact d‐dimensional C2 manifold with boundary, the rotational average of intrinsic volumes (total mean curvatures) measured on sections passing through a fixed point can be expressed as an integral over the boundary ...
Auneau, J., Rataj, J., Vedel Jensen, E. B.   +2 more
openaire   +4 more sources

Macaulay and closed form duration formulas

The British Accounting Review, 1990
Abstract This paper draws attention to Macaulay's closed form formula for duration and demonstrates its simple links to alternative closed form formulas for duration presented in recent years.
openaire   +1 more source

Close form pricing formulas for Coupon Cancellable CoCos

Journal of Banking & Finance, 2014
Abstract Contingent Convertibles (“CoCos”) are contingent capital instruments which convert into shares, or have a principal write down, if a trigger event takes place. CoCos exhibit the undesirable so-called death-spiral effect : by actively hedging the equity risk, investors can (unintentionally) force the conversion by making the share price ...
Corcuera, Jose Manuel, De Spiegeleer, Jan, Fajardo, José, Jonsson, Henrik, Schoutens, Wim, Valdivia, Arturo   +5 more
openaire   +2 more sources

Closed-form formulas for Kirchhoff index

International Journal of Quantum Chemistry, 2000
We find closed-form expressions for the resistance, or Kirchhoff index, of certain connected graphs using Foster's theorems, random walks, and the superposition principle. © 2001 John Wiley & Sons, Inc.
openaire   +1 more source

Pricing the American options: A closed-form, simple formula

Physica A: Statistical Mechanics and its Applications, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +1 more source

Novel closed-form resistance formulae for rectangular interconnects

Journal of Semiconductors, 2011
Two closed-form formulae for the frequency-dependent resistance of rectangular cross-sectional inter- connects are presented. The frequency-dependent resistance R.f / of a rectangular interconnect line or a intercon- nect line with a ground plane structure is first obtained by a numerical method.
Baojun Chen, Zhen'an Tang, Tiejun Yu
openaire   +1 more source

Closed‐form option pricing formulas with extreme events

Journal of Futures Markets, 2008
AbstractThis paper explores the effect of extreme events or big jumps downwards and upwards on the jump‐diffusion option pricing model of Merton (1976). It starts by obtaining a special case of the jump‐diffusion model where there is a positive probability of a big jump downwards.
António Câmara, Steven L. Heston
openaire   +1 more source