Results 1 to 10 of about 1,243,943 (307)
Valuation of Exchange Option with Credit Risk in a Hybrid Model
Mathematics, 2020 In this paper, the valuation of the exchange option with credit risk under a hybrid credit risk model is investigated. In order to build the hybrid model, we consider both the reduced-form model and the structural model.
Geonwoo Kim
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ANALISIS PENGGUNAAN FORWARD CONTRACT DAN OPTION PADA PERUSAHAAN EKSPOR UD DAMENA DI DENPASAR [PDF]
E-Jurnal Manajemen, 2018 Perusahaan ekspor menerima penghasilan dalam mata uang asing sehingga akan terkena dampak dari adanya risiko exchange rate. Tujuan penelitian ini untuk mengetahui penerapan metode hedging forward contract dan option pada UD Damena (Seafood Supply ...
Gita Syeba Lubis, Henny Rahyuda
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Axioms, 2023 In this paper, we study a simplified approach to determine the pricing formula for vulnerable options involving two correlated underlying assets. We utilize an intensity-based model to describe the credit risk associated with these vulnerable options ...
Geonwoo Kim
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Pricing formula for exchange option in fractional black-scholes model with jumps [PDF]
Journal of Hyperstructures, 2014 In this paper pricing formula for exchange option in a fractional Black-Scholes model with jumps is derived. We found out some errors in proof of pricing formula for European call option [7]. At first we revise these errors and then extend this result to
Kyong-Hui Kim +2 more
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Power Exchange Option with a Hybrid Credit Risk under Jump-Diffusion Model
Mathematics, 2021 In this paper, we study the valuation of power exchange options with a correlated hybrid credit risk when the underlying assets follow the jump-diffusion processes.
Junkee Jeon, Geonwoo Kim
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International Journal of Financial Studies, 2020 In option pricing models with correlated stochastic processes, an option premium is commonly a solution to a partial differential equation (PDE) with mixed derivatives in more than two space dimensions.
Yusho Kagraoka
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State and Prospects of Using the Сryptocurrency Derivatives [PDF]
Облік і фінанси, 2020 The emergence and rapid development of the cryptocurrency market necessitated its organization and legal regulation. Today in Ukraine, businesses are allowed to record cryptocurrency as a financial asset (financial instrument / intangible asset), so ...
Oleksandr Petruk, Oksana Novak
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Calculating Real Option Value under Different Approaches in the Tehran Stock Exchange [PDF]
Journal of Asset Management and Financing, 2020 Objective: A question that always arises for some practitioners and academicians is why stock prices in firms are not consistent with traditional discounted cash flow (DCF) models. Method: To this end, firms’ stock market prices should be analyzed on the
Reza Tehrani +2 more
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Plasma Exchange as a Rescue Therapy for Acute Liver Failure [PDF]
Journal of Clinical and Diagnostic Research, 2021 Acute Liver Failure (ALF) is a life-threatening condition and often necessitates Liver Transplantation (LT). However, LT is not available to most patients in developing countries due to resource constraints.
Nupur B Patel +3 more
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A comprehensive Python tool for interval valued bipolar Neutro-sophic sets and operations [PDF]
Journal of Fuzzy Extension and ApplicationsThe increasing prominence of single-valued neutrosophic sets (SVNSs) and interval-valued neutrosophic sets (IVNSs) among researchers has propelled their adoption in diverse real-world applications.
Pranesh Prakash +3 more
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