Local Variance Gamma and Explicit Calibration to Option Prices [PDF]
, 2014 In some options markets (e.g. commodities), options are listed with only a single maturity for each underlying. In others, (e.g. equities, currencies), options are listed with multiple maturities.
Carr, Peter, Nadtochiy, Sergey
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Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market [PDF]
, 2008 This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump assets or moment ...
Olhede, Sofia +2 more
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THE EUROPEAN EARWIG IN ORCHARDS: WHEN DOES IT BECOME A PEST, AND WHAT ARE THE OPTIONS FOR SOLVING PROBLEMS [ŠKVOR OBECNÝ V SADECH: KDY SE STÁVÁ ŠKŮDCEM A JAKÉ JSOU MOŽNOSTI ŘEŠENÍ PROBLÉMŮ] [PDF]
Vědecké Práce OvocnářskéThe European earwig, Forficula auricularia Linnaeus is an organism that can be considered a beneficial species. However, in some cases growers complain that the European earwig has caused considerable damage to their fruit, especially just before harvest.
Jana Niedobová
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A robust numerical solution to a time-fractional Black–Scholes equation
Advances in Difference Equations, 2021 Dividend paying European stock options are modeled using a time-fractional Black–Scholes (tfBS) partial differential equation (PDE). The underlying fractional stochastic dynamics explored in this work are appropriate for capturing market fluctuations in ...
S. M. Nuugulu, F. Gideon, K. C. Patidar
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European Option Pricing under Sub-Fractional Brownian Motion Regime in Discrete Time
Fractal and Fractional, 2023 In this paper, the approximate stationarity of the second-order moment increments of the sub-fractional Brownian motion is given. Based on this, the pricing model for European options under the sub-fractional Brownian regime in discrete time is ...
Zhidong Guo, Yang Liu, Linsong Dai
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Pricing Vulnerable Options with Market Prices of Common Jump Risks under Regime-Switching Models
Discrete Dynamics in Nature and Society, 2018 This paper investigates the valuation of vulnerable European options considering the market prices of common systematic jump risks under regime-switching jump-diffusion models.
Miao Han +3 more
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Analyzing the Risks Embedded in Option Prices with rndfittool
Risks, 2018 This paper introduces a new computational tool for the analysis of the risks embedded in a set of prices of European-style options. The software enables the estimation of the risk-neutral density (RND) from the observed option prices by means of ...
Andrea Barletta +1 more
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Brexit: Viable options to avoid crisis [PDF]
, 2020 This paper covers the viable options that the United Kingdom may take to avoid economic and political crisis as they exit the European Union. There are several benefits and detriments to the exit. Some benefits include economic and political freedom from
Diercks, Samuel
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A Modified Black-Scholes-Merton Model for Option Pricing
Mathematics, 2022 Financial derivatives have grown in importance over the last 40 years with futures and options being actively traded on a daily basis throughout the world. The need to accurately price such financial instruments has, thus, also increased, which has given
Paula Morales-Bañuelos +2 more
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Taylor expansion for derivative securities pricing as a precondition for strategic market decisions [PDF]
Problems and Perspectives in Management, 2018 The strategy of managing the pricing processes, in particular managing the dynamics of the price of the underlying asset and its volatility, the prices of indices, shares, options, the magnitude of financial flows, in the method of calculating the ...
Ivan Burtnyak, Anna Malytska
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