Results 11 to 20 of about 2,556,654 (259)
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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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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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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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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A new neutrosophic distribution using quadratic transmuted exponential distribution: Properties and applications [PDF]
Journal of Fuzzy Extension and ApplicationsThis study introduces the Neutrosophic Quadratic Transmuted Exponential Distribution (NQTED), employing a quadratic rank transmutation map within the Neutrosophic probability framework. The NQTED is proposed by introducing a new parameter to the standard
Benitta Aniyan +2 more
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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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A reinvestigation in the nature of partnership option and partition of the commodity option [PDF]
مطالعات فقه اسلامی و مبانی حقوق, 2016 The issue of options [in the contracts] has a special significance in Imamiyah jurisprudence and civil law and is recognized as one of the voluntary factors of dissolution of the contracts. “Partnership option” and “partition of the commodity option” are
Ali Baqiri +2 more
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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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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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