Proactive Hedging European Call Option Pricing with Linear Position Strategy
, 2018 Proactive hedging option is an exotic European stock option designed for hedgers. Such option requires option holders to buy in (or sell out) the underlying asset (stock) and allows them to adjust the holdings of the underlying asset per its price ...
Fangfang Sun, Xuefeng Wang, Meng Li
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New Method for Real Option Valuation Using Fuzzy Numbers [PDF]
Real option analysis offers interesting insights on the value of assets and on the profitability of investments, which has made real options a growing field of academic research and practical application. Real option valuation is, however, often found to
Collan, Mikael
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A Study Looking the Electronic Payment Market [PDF]
The aim of this paper is to make an analysis of the electronic payment market. We identified the most important characteristics of the electronic payment systems especially those mentioned by the European Central Bank.
Codruta POENAR
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Payment scale economies, competition, and pricing [PDF]
Payment scale economies affect banking costs, competition in payment services, and pricing. Our scale measure relates operating cost to physical measures of European banking "output", finding large economies.
Humphrey, David
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Integrating European retail payment systems: some economics of SEPA [PDF]
Using a spatial competition model of retail payment networks, this paper discusses the likely economic consequences associated with the formation of the Single Euro Payments Area (SEPA).
Kemppainen, Kari
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OPTION PRICING WITH V. G. MARTINGALE COMPONENTS [PDF]
European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). The incomplete markets equilibrium change of measure is approximated and identified using the log return mean ...
Dilip Madan, Frank Milne
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Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions [PDF]
This paper presents a numerical method for pricing American call options where the underlying asset price follows a jump-diffusion process. The method is based on the Fourier-Hermite series expansions of Chiarella, El-Hassan & Kucera (1999), which we ...
Andrew Ziogas, Carl Chiarella
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Nonparametric option pricing with no-arbitrage constraints [PDF]
We propose a completely kernel based method of estimating the call price function or the state price density of options. The new estimator of the call price function fulfills the constraints like monotonicity and convexity given in Breeden and ...
Birke, Melanie, Pilz, Kay F.
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Payment network scale economies, SEPA, and cash replacement [PDF]
The goal of SEPA (Single Euro Payments Area) is to facilitate the emergence of a competitive, intra-European market by making cross-border payments as easy as domestic transactions.
Wilko Bolt, David Humphrey
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Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar. [PDF]
This research paper presents statistical comparisons between two methods that are commonly used to estimate option implied Risk-Neutral Densities (RND). These are: 1) mixture of lognormals (MXL); and, 2) volatility function technique (VFT). The former is
Israel Felipe Mora Cuevas +1 more
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