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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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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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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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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Implantable phakic contact lens exchange after seven years: A case report
Indian Journal of Ophthalmology. Case Reports, 2023 Implantable phakic contact lens (IPCL) exchange or removal is commonly done in case of wrong size implantation leading to either pupillary block glaucoma or cataract, residual refractive error, recurrent uveitis, and endothelial cell loss. Usual time for
Rajesh R Kapoor +2 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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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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Option Pricing with Given Risk Constraints and Its Application to Life Insurance Contracts
AppliedMathThis paper presents a method for hedging in markets of two-factor diffusion and jump diffusion models under the restriction of a specified probability of success. In addition, a method for hedging with a given shortfall amount is developed.
Betty Guo, Alexander Melnikov
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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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The impact of return nonnormality on exchange options [PDF]
Journal of Futures Markets, 2007 AbstractThe Margrabe formula is used extensively by theorists and practitioners not only on exchange options, but also on executive compensation schemes, real options, weather and commodity derivatives, etc. However, the crucial assumption of a bivariate normal distribution is not fully satisfied in almost all applications.
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