Large value payment systems: principles and recent and future developments [PDF]
The present European large-value payment systems are on the verge of notable changes. Since they comprise the backbone or basic infrastructure of the whole economy, it is important that the changes are monitored and carried out in a very prudent manner ...
Iivarinen , Timo
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An efficient binomial approach to the pricing of options on stocks with cash dividends [PDF]
In this contribution, we consider options written on stocks which pay cash dividends. Dividend payments have an effect on the value of options: high dividends imply lower call premia and higher put premia.
Martina Nardon, Paolo Pianca
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The DF Structure Models for Options Pricing On the Dividend- Paying and Capital-Splitting [PDF]
Based on the DF structure models for option pricing (F. Dai, 2005), this paper discusses further the DF structure models on three cases, i.e., the underlying stock being dividend-paid, capital-split or dividend-paid and capital-split.
Feng Dai
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Effects of market sentiment in index option pricing: a study of CNX NIFTY index option [PDF]
This paper provides evidence of the role of sentiments in pricing Indian CNX Nifty index call Option during the period from April 2002 to December 2008. It also shows that Black-Scholes option pricing model using the implied volatility of previous day is
Nagarajan, Thirukumaran +1 more
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Pricing Derivatives on Two Lé}vy-driven Stocks [PDF]
The aim of this work is to study the pricing problem for derivatives depending on two stocks driven by a bidimensional Lévy process. The main idea is to apply Girsanov's Theorem for Lévy processes, in order to reduce the posed problem to the pricing of a
Ernesto Mordecki, José Fajardo
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A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes [PDF]
In this paper we show that in the lognormal discrete-time stochastic volatility model with predictable conditional expected returns, the conditional expected value of the discounted payoff of a European call option is infinite. Our empirical illustration
Anna Pajor
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GARCH option pricing under skew. [PDF]
This article is an empirical study dedicated to the GARCH Option pricing model of Duan (1995) applied to the FTSE 100 European style options for various maturities.
Aboura, Sofiane
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Option pricing with discrete time jump processes [PDF]
In this paper we propose new option pricing models based on class of models with jump contain in the Lévy-type based models (NIG-Lévy, Merton-jump (Merton 1976) and Duan based model (Duan 2007)).
Hanjarivo Lalaharison +2 more
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Finnish consumers' expectations on developments and changes in payment habits. Survey in connection with the research project 'Finnish payment habits 2010' [PDF]
The Bank of Finland’s Finnish Payment Habits 2010 project predicts that Finnish payment habits will face substantial changes. The causes for these changes include: the standardisation and integration of European payment systems, development of payment ...
Öörni, Anssi, Dahlberg, Tomi
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Payment Card Systems in Europe: Convergence or Disappearance? [PDF]
This article provides a descriptive overview of the payment card industry in Europe and compares the various forms of organization of payment card systems in European countries. This synthesis helps to understand the paradoxes and the challenges entailed
Marianne VERDIER
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