Results 31 to 40 of about 5,889 (311)
Discriminatory Pricing of Over-the-Counter Derivatives [PDF]
IMF Working Papers, 2017 For the first time, new regulatory data allow precise measurement of price discrimination against nonfinancial clients in the foreign exchange derivatives market. Consistent with the theoretical literature, transaction costs vary systematically with measures of client sophistication.
Harald Hau +3 more
openaire +3 more sources
Apreçamento de derivativos bidimensionais
Economia Aplicada, 2005 Neste artigo analisamos o apreçamento de contratos que tenham seus resultados atrelados a mais de um ativo subjacente, em especial, opções bidimensionais.
Hugo Daniel de Oliveira Azevedo +1 more
doaj +1 more source
Efficient Markets and Contingent Claims Valuation: An Information Theoretic Approach
Entropy, 2020 This research article shows how the pricing of derivative securities can be seen from the context of stochastic optimal control theory and information theory.
Jussi Lindgren
doaj +1 more source
Finite Difference Method for the Multi-Asset Black–Scholes Equations
Mathematics, 2020 In this paper, we briefly review the finite difference method (FDM) for the Black−Scholes (BS) equations for pricing derivative securities and provide the MATLAB codes in the Appendix for the one-, two-, and three-dimensional numerical ...
Sangkwon Kim +3 more
doaj +1 more source
Investors’ perspective on forecasting crude oil return volatility: Where do we stand today?
Journal of Management Science and Engineering, 2022 In this paper, we review studies of oil volatility prediction from a new perspective: that of investors who require economic evaluations of forecasting performance.
Li Liu +3 more
doaj +1 more source
Pricing Weather Derivatives [PDF]
American Journal of Agricultural Economics, 2004 This paper presents a general method for pricing weather derivatives. Specification tests find that a temperature series for Fresno, California follows a mean-reverting Brownian motion process with discrete jumps and ARCH errors. Based on this process, we define an equilibrium pricing model for cooling degree day weather options.
Richards, Timothy J. +5 more
openaire +4 more sources
A reduced-form intensity model containing noise interference
Systems Science & Control Engineering, 2019 OTC financial derivatives are non-standardized face-to-face financial contracts its trading environment is characterized by less information, information disclosure may be distorted, and no exchange protection. It results in asymmetric information on the
Dong-wei Shi, Dong-e Bao, Liang Wu
doaj +1 more source
Discrete Dynamics in Nature and Society, 2021 This paper studies the pricing of American carbon emission derivatives and its numerical method under the mixed fractional Brownian motion. To capture the long memory properties such as self-similarity and long-range dependence in the price process, we ...
Yuling Wang, Jing Wang
doaj +1 more source
A Generalized Weighted Monte Carlo Calibration Method for Derivative Pricing
Mathematics, 2021 The weighted Monte Carlo method is an elegant technique to calibrate asset pricing models to market prices. Unfortunately, the accuracy can drop quite quickly for out-of-sample options as one moves away from the strike range and maturity range of the ...
Hilmar Gudmundsson, David Vyncke
doaj +1 more source
The mathematics of finance: pricing derivatives [PDF]
Quarterly of Applied Mathematics, 1998 This paper gives an overview about the derivative pricing models. It begins with describing derivative pricing problems especially the option pricing theory. It follows the binominal approach with the restrictions of the model, the binominal tree, and the investor's possible decisions. Two different situation of gross return are regarded.
openaire +2 more sources