Results 11 to 20 of about 1,243,943 (307)
BALANCED MODEL OF EXCHANGE OPTION PRICE
Вестник Российского экономического университета имени Г. В. Плеханова, 2017 The article suggests a new approach to finding a theoretical price (value) of exchange option. In contrast to Black-Shows and binominal models the balanced model is deduced from balanced interests of both parties of economic relation. For short-term time
Vladimir A. Galanov
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Investor Sentiment Index and Option Price Volatility Based on MIDAS Model: Evidence from China [PDF]
SHS Web of Conferences, 2021 The paper selects the transaction data of the option market and network data from June 1, 2015 to February 2, 2018. The principal component analysis is adopted to construct investor sentiment index.
Xiao Haiyan, Hao Yingxin, Wu Sirong
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Option volume and stock returns: evidence from single stock options on the Korea Exchange [PDF]
Seonmul yeongu, 2021 Informed traders may prefer the options market to the stock market for reasons including the leverage effect, transaction costs, restrictions on short sale.
Mincheol Woo, Meong Ae Kim
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Acta Universitatis Lodziensis. Folia Oeconomica, 2023 The article concerns the generalised Cox‑Ross‑Rubinstein (CRR) option pricing model with new formulas for changes in upper and lower stock prices. The formula for option pricing in this model, which is the Black‑Scholes type formula, and its asymptotics ...
Emilia Fraszka-Sobczyk
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Spread Option Pricing in Regime-Switching Jump Diffusion Models
Mathematics, 2022 In this paper, we consider the problem of pricing a spread option when the underlying assets follow a bivariate regime-switching jump diffusion model. We exploit an approximation technique which is based on the univariate Fourier transform representation
Alessandro Ramponi
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Exchange-traded funds as an alternative investment option
Notas Económicas, 2019 We conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017, we test ETFs for price inefficiency (existence of
António Afonso, Pedro Cardoso
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MathematicsThis paper investigates the valuation of vulnerable exchange options with two underlying assets that follow a two-factor volatility model. We employ a reduced-form model incorporating a Poisson process with stochastic intensity. The proposed reduced-form
Junkee Jeon, Geonwoo Kim
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Investigating Trading Strategies in Call Option Exchange of Rail Stock and Analyzing Exchange Opportunities [PDF]
سیاستگذاری اقتصادیPurpose: Investors seek solutions in order to manage risks and create security in the market so as to have more control over the value of investment during market fluctuations. For this purpose, various derivatives have been designed.
Soheila Ojaghi +3 more
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Regime-Switching Fischer–Margrabe Options Pricing with Liquidity Risk and Stochastic Volatility
MathematicsThis article presents a model for pricing an exchange option considering stochastic volatility and liquidity risk. The impact of liquidity risk on an asset price is considered by utilizing a liquidity discount process that is influenced by both market ...
Priya Mittal +2 more
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Option pricing under Black–Scholes, Boness and Binomial tree models- evidence from the gold coin option contracts in Iran mercantile exchange Mahdie Amiri [PDF]
فصلنامه بورس اوراق بهادار, 2020 The purpose of this research is the pricing of gold coin option contracts in Iran mercantile exchange. The price of gold coin option contracts has been estimated by the Black–Scholes,Boness and Binomial tree models.For this purpose, the theoretical ...
Mahdie Amiri
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