Results 11 to 20 of about 1,224,076 (303)
MARKETWIDE LIQUIDITY AND OPTIONS MARKET
Applied Finance Letters, 2022 In this paper, we study the relationship between marketwide liquidity and options market. Using the Chicago Board Options Exchange (CBOE) Volatility Index, VIX as a measure of overall value of the S&P 500 (SPX) options, and the CBOE SKEW Index as a ...
Jin Zhang, Hai Lin
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The theory of combinations for land plot exchange modelling in the course of land consolidation
Geodesy and Cartography, 2022 The paper is aimed at the promotion of voluntary land consolidation through the improvement of land plots exchange. The issue of the existing land plots boundaries adjustment in the course of voluntary land consolidation has been singled out ...
Мykola Malashevskyi, Olena Malashevska
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Calendar Spread Exchange Options Pricing with Gaussian Random Fields
Risks, 2018 Most of the models leading to an analytical expression for option prices are based on the assumption that underlying asset returns evolve according to a Brownian motion with drift.
Donatien Hainaut
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Pricing of Shanghai stock exchange 50 ETF options based on different volatility models.
PLoS ONE, 2023 On March 15, 2022, the volume of trade of the Shanghai Stock Exchange (SSE) 50 ETF option contracts and the CSI 300 ETF option contracts exceeded 10 million for the first time, of which 5,707,400 50 ETF options were traded, and SSE 50 ETF options, as the
Qingchun Wu +3 more
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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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Cogent Economics & Finance, 2022 The purpose of this study is to examine the role of options volatility and bid-ask spread as microstructural variables in determining whether the foreign exchange market’s price formation process in response to macroeconomic announcements is ...
Muhammad Ishfaq +4 more
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STATE AND PROSPECTS OF THE DERIVATIVES WORLD MARKET DEVELOPMENT
Three Seas Economic Journal, 2021 The purpose of the paper is to determine the current state of the global derivatives market in the context of structural and dynamic processes and to substantiate the prospects for its further development, given the existing global challenges ...
Marharyta Krasnova
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Adapt or Exchange: Making changes within or between contexts in a modular plant scenario
Journal of Dynamic Decision Making, 2020 Most psychological studies investigating the balance between stability and flexibility in decision making use specific restrictions in their scenarios. These restrictions are likely to affect decision process, and it is unclear which of the findings can
Romy Müller, Leon Urbas
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On the Hedging of Options On Exploding Exchange Rates [PDF]
, 2012 We study a novel pricing operator for complete, local martingale models. The new pricing operator guarantees put-call parity to hold for model prices and the value of a forward contract to match the buy-and-hold strategy, even if the underlying follows ...
Carr, Peter +2 more
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A Continuous-Time Model for Valuing Foreign Exchange Options
Abstract and Applied Analysis, 2013 This paper makes use of stochastic calculus to develop a continuous-time model for valuing European options on foreign exchange (FX) when both domestic and foreign spot rates follow a generalized Wiener process.
James J. Kung
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