Results 91 to 100 of about 463,352 (288)
The Extended Black-Scholes Model with-LAGS-and “Hedging Errorsâ€
The International Journal of Banking and Finance, 2003 The Black-Scholes model is derived under the assumption that heding is done instantaneously. In practice, there is a “small†time that elapses between buying or selling the option and hedging using the underlying asset.
Mondher Bellalah
doaj
When Politics Meets Money: Geopolitical Risk and Money Demand in the US and Euro Area
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper investigates the impact of geopolitical risk on real money demand in the United States and the Euro Area using Divisia monetary aggregates. To account for the potential instability of money demand and the complex nature of geopolitical shocks, we employ a comprehensive empirical framework combining linear and non‐linear ...
Anirban Sengupta +2 more
wiley +1 more source
Pricing and hedging renewable power purchase agreement floors under stochastic generation
Energy Conversion and EconomicsRenewable power purchase agreements (PPAs) expose generators and offtakers to capture‐price risk because realised revenue depends on prices during renewable production hours.
Ezio Lauro, Helyette Geman
doaj +1 more source
Hedging cryptocurrency options. [PDF]
Rev Deriv Res (Dordr), 2023 Matic JL, Packham N, Härdle WK.
europepmc +1 more source
Heating the Inflation Inequality in Greece
International Journal of Finance &Economics, EarlyView.ABSTRACT The aim of the current study is twofold. First, we assess the household inflation inequality in Greece not only across different income groups but also across other households' social and economic characteristics, such as occupational status and household composition, among others.
Stavros Degiannakis +2 more
wiley +1 more source
Valuing Stock Liquidity: Theory and Evidence From the Collapse of Lehman Brothers
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines the cross‐sectional relationship between stock return and stock liquidity (both level and risk) for the period when there was a huge decline in market‐wide funding liquidity from the collapse of Lehman Brothers. We propose a global game model to analyse the decisions of short‐term traders around the time Lehman Brothers ...
Shu Feng +4 more
wiley +1 more source
Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models [PDF]
The assumption that the probability distribution of returns is independent of the current level of the asset price is an intuitive property for option pricing models on financial assets.
Leonardo M. Nogueira, Carol Alexandra
core
Managerial and Decision Economics, EarlyView.ABSTRACT Trade‐policy shocks raise visible operating pressure on firms through sourcing costs, supplier exposure, and market‐serving choices. A direct operating‐margin interpretation points to production reconfiguration, pricing changes, or supply‐chain adjustment.
Garros Gong, Stanko Dimitrov
wiley +1 more source
Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments [PDF]
This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to ...
Yukihiro Tsuzuki +2 more
core
Research in Nursing &Health, EarlyView.ABSTRACT This study aimed to evaluate the effectiveness of interprofessional collaborative practice interventions in improving activities of daily living, quality of life, length of stay, and in reducing mortality among older adults with hip fractures. Systematic review and meta‐analysis of randomized controlled trials.
Santo Imanuel Tonapa +3 more
wiley +1 more source