Pricing European Call Option in Scott’s Stochastic Volatility Model
, 2010 In this paper, we derive pricing equations for the European call option under Scott’s stochastic volatility model and achieve a price for the European call option by creating a JAVA applet. Through certain times of simulating we can observe the tendency
Zhao, Hailong, Hoque, S.M. Nazmul
core +1 more source
Option Pricing: Real and Risk-Neutral Distributions [PDF]
The central premise of the Black and Scholes [Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81, 637–659] and Merton [Merton, R. (1973). Theory of rational option pricing.
Jackwerth, Jens Carsten +2 more
core
The exact value for European options on a stock paying a discrete dividend [PDF]
In the context of a Black-Scholes economy and with a no-arbitrage argument, we derive arbitrarily accurate lower and upper bounds for the value of European options on a stock paying a discrete dividend.
Amaro de Matos, Joao +2 more
core
The changing nature of U.S. card payment fraud: industry and public policy options [PDF]
As credit and debit card payments have become the primary payment instrument in retail transactions, awareness of identity theft and concerns over the safety of payments has increased. Traditional forms of card payment fraud are still an important threat,
Richard J. Sullivan
core
The internal efficiency of Index Option Markets:Tests on the Italian Market [PDF]
The aim of the present paper is to provide evidence on the internal market efficiency of the Italian index option market. To this end a model-free approach is taken, whereby strategies involving only options are tested by means of a high frequency ...
Marianna Brunetti, Costanza Torricelli
core
A Model of Deferred Callability in Defaultable Debt [PDF]
Banks and other financial institutions raise hybrid capital as part of their risk capital. Hybrid capital has no maturity, but, similarily to most corporate debt, includes an embedded issuer's call option.
Persson, Svein-Arne, Mjøs, Aksel
core
HEARTLAND Protocol: A Tiered Clinical Implementation Toolkit for Primary Care-Led Heart Failure Management in Rural and Resource-Limited Settings. [PDF]
CureusMuller Ferreira V.
europepmc +1 more source
Who becomes a dermatologist? A repeated cross-sectional study on diversity in the Dutch dermatology workforce. [PDF]
PLoS OneMagdalena ST +3 more
europepmc +1 more source
Incentives are effective but insufficient to halt smallholder deforestation in the Colombian Amazon. [PDF]
PLoS OneCharoud H +4 more
europepmc +1 more source
Challenges and possibilities in offering support to family caregivers to persons with dementia of non-European background: A qualitative study. [PDF]
PLoS OneKagwa AS +5 more
europepmc +1 more source