Results 61 to 70 of about 1,754,337 (200)

A Path Integral Way to Option Pricing

, 2002
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem.
Montagna, G., Moreni, N., Nicrosini, O.
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Pricing of the European Options by Spectral Theory [PDF]

We discuss the efficiency of the spectral method for computing the value of the European Call Options, which is based upon the Fourier series expansion. We propose a simple approach for computing accurate estimates.
Dell'Era Mario, M.D.
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European Citizens' Initiative: Legal Options for Implementation Below the Constitutional Level [PDF]

, 2006
The EU has long been criticized for its democratic deficit. Several proposals for overcoming or reducing this deficit have been made. Some of them mention the role of more citizen participation and direct democracy.
Michael Efler
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Options with Extreme Strikes

Risks, 2015
In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black–Scholes models.
Lingjiong Zhu
doaj   +1 more source

Options and Efficiency in Multiperiod Security Markets [PDF]

We extend the result of Ross (1976) that European options generate complete markets from the single-period to a multiperiod setting. We find that multiperiod European options on a trading strategy generate dynamic completeness for every arbitrage-free ...
Alexandre Baptista
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Ukrainian’s commitment to European Union values: problems and options [PDF]

CES Working Papers
The purpose of the article is to evaluate the importance and relevance of fundamental values, beliefs to Ukrainian citizens in the context of full-scale invasion of Ukraine.
Olga NOSOVA
doaj  

Risk preference based option pricing in a fractional Brownian market [PDF]

We focus on a preference based approach when pricing options in a market driven by fractional Brownian motion. Within this framework we derive formulae for fractional European options using the traditional idea of conditional expectation.
Rostek, Stefan, Schöbel, Rainer
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From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments [PDF]

, 2014
We consider a non-stochastic online learning approach to price financial options by modeling the market dynamic as a repeated game between the nature (adversary) and the investor. We demonstrate that such framework yields analogous structure as the Black-
Lam, Henry, Liu, Zhenming
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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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Closed forms for European options in a local volatility model [PDF]

Because of its very general formulation, the local volatility model does not have an analytical solution for European options. In this article, we present a new methodology to derive closed form solutions for the price of any European options.
Emmanuel Gobet, Eric Benhamou, Mohammed Miri   +2 more
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