Results 41 to 50 of about 463,352 (288)
ANALISIS SENSITIVITAS HARGA OPSI MENGGUNAKAN METODE GREEK BLACK SCHOLES
E-Jurnal Matematika, 2018 Sensitivity analysis can be used to carry out hedging strategies. The sensitivity value measures how much the price change of the option influenced by some parameters.
DEVI NANDITA. N +2 more
doaj +1 more source
Weather Attention in Online Discourse and Price Uncertainty in Agricultural Futures Markets
Agribusiness, EarlyView.ABSTRACT Weather is a central determinant of production risk in agricultural markets, but markets respond not only to weather conditions themselves, but also to how those conditions are noticed, framed, and interpreted in public discourse. In this setting, real‐time online weather discussions may shape price uncertainty by influencing how market ...
Mario A. Ortez +3 more
wiley +1 more source
Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach [PDF]
, 2005 Consider a non-spanned security $C_{T}$ in an incomplete market. We study the risk/return tradeoffs generated if this security is sold for an arbitrage-free price $\hat{C_{0}}$ and then hedged. We consider recursive "one-period optimal" self-financing
Ibáñez, Alfredo
core +1 more source
On an improved computational solution for the 3D HCIR PDE in finance
Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2019 The aim of this work is to tackle the three–dimensional (3D) Heston– Cox–Ingersoll–Ross (HCIR) time–dependent partial differential equation (PDE) computationally by employing a non–uniform discretization and gathering the finite difference (FD) weighting
Soleymani Fazlollah +2 more
doaj +1 more source
South African Journal of Economic and Management Sciences, 2017 Background: Contingent claims on underlying assets are typically priced under a framework that assumes, inter alia, that the log returns of the underlying asset are normally distributed.
Emlyn Flint, Eben Maré
doaj +1 more source
Biological Reviews, EarlyView.ABSTRACT The environmental conditions organisms experience during early development can have powerful and sustained effects on morphology, physiology, behaviour, and performance. Such developmental effects can influence reproductive success, survival, and life‐history strategies and can be transmitted across generations (i.e.
Ondi L. Crino +7 more
wiley +1 more source
Research on Quantitative Investment Strategies Based on Deep Learning
Algorithms, 2019 This paper takes 50 ETF options in the options market with high transaction complexity as the research goal. The Random Forest (RF) model, the Long Short-Term Memory network (LSTM) model, and the Support Vector Regression (SVR) model are used to predict ...
Yujie Fang, Juan Chen, Zhengxuan Xue
doaj +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT This paper examines how the European Union Emissions Trading System allowance prices reshape the link between corporate environmental performance (CEP) and firms' growth expectations, measured by Tobin's Q. Using a panel of 1370 listed firms across 15 European countries from 2005 to 2024 and high‐dimensional fixed‐effects models, we first ...
Adrián Ferreras
wiley +1 more source
Application of deep learning to option hedging strategy
Systems and Soft ComputingThe emergence of the digital information age has sparked considerable interest in predictive analytics within the realm of finance. Predicting uncertainty lies at the heart of Financial Engineering, where crafting investment or trading strategies using ...
Haibin Li, Mingzhu Sun, Ziqi Wang
doaj +1 more source
Does Climate Risk Affect Employment Decisions? International Evidence
Business Strategy and the Environment, EarlyView.ABSTRACT This study investigates the effect of climate risk on corporate employment decisions. Using a large sample from 41 countries, we find a positive association between climate risk and underinvestment in labor, notably manifesting as excessive employee layoffs.
Claude Francoeur +3 more
wiley +1 more source