Results 51 to 60 of about 1,754,337 (200)

Proposals for a new audit liability regime in Europe [PDF]

, 2009
The past few years have seen a growing trend towards the focus on audit liability. In the UK, the Company Law Reform Bill which became the Companies Act 2006, has removed the previously existing limits on auditor liability and compelled an agreement ...
Ojo, Marianne
core  

An RBF Method for Time Fractional Jump-Diffusion Option Pricing Model under Temporal Graded Meshes

Axioms
This paper explores a numerical method for European and American option pricing under time fractional jump-diffusion model in Caputo scene. The pricing problem for European options is formulated using a time fractional partial integro-differential ...
Wenxiu Gong, Zuoliang Xu, Yesen Sun
doaj   +1 more source

Pricing Vulnerable Options in the Bifractional Brownian Environment with Jumps

Journal of Mathematics, 2021
In this paper, we study the valuation of European vulnerable options where the underlying asset price and the firm value of the counterparty both follow the bifractional Brownian motion with jumps, respectively.
Panhong Cheng, Zhihong Xu
doaj   +1 more source

Pricing vanilla options using artificial neural networks: Application to the South African market

Cogent Economics & Finance, 2021
In this paper, a feed-forward artificial neural network (ANN) is used to price Johannesburg Stock Exchange (JSE) Top 40 European call options using a constructed implied volatility surface.
Ryno du Plooy, Pierre J. Venter
doaj   +1 more source

Analytic Approximations for Spread Options [PDF]

This paper expresses the price of a spread option as the sum of the prices of two compound options. One compound option is to exchange vanilla call options on the two underlying assets and the other is to exchange the corresponding put options.
Aanand Venkatramanan, Carol Alexander
core  

A semi-analytical approach to Canary swaptions in HJM one-factor model [PDF]

Leveraging the explicit formula for European swaptions and coupon-bond options in HJM one-factor model, we develop a semi-explicit formula for 2-Bermudan options (also called Canary options). We first extend the European swaption formula to future times.
Henrard Marc
core  

Exploring Public-Private Partnerships in Romania: benefits, challenges, and implications for infrastructure development and sustainable growth [PDF]

Revista de Management Comparat International
In Romania, transportation infrastructure, especially airports, is essential for economic development and connectivity. However, financial and administrative challenges require a careful assessment of financing options such as public-private ...
Cristina Gabriela COSMULESE
doaj   +1 more source

A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model. [PDF]

Comput Econ, 2023
Kharrat M, Arfaoui H.
europepmc   +1 more source

A Consistent Pricing Model for Index Options and Volatility Derivatives [PDF]

We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently.
Cont, Rama, Kokholm, Thomas
core  

Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility

Discrete Dynamics in Nature and Society, 2018
This paper considers the pricing issue of vulnerable European option when the dynamics of the underlying asset value and counterparty’s asset value follow two correlated exponential Lévy processes with stochastic volatility, and the stochastic volatility
Chaoqun Ma, Shengjie Yue, Yishuai Ren
doaj   +1 more source