Results 91 to 100 of about 2,210,161 (360)
Semi-Analytical Option Pricing Under Double Heston Jump-Diffusion Hybrid Model
Journal of Mathematical Sciences and Modelling, 2018 We examine European call options in the jump-diffusion version of the Double Heston stochastic volatility model for the underlying price process to provide a more flexible model for the term structure of volatility.
Rehez Ahlip +2 more
doaj +1 more source
Exchange Volatility and Forward Market Mechanism
Foreign Trade Review, 1986 Legacy description not ...
openaire +1 more source
Two‐Dimensional Materials as a Multiproperty Sensing Platform
Advanced Functional Materials, EarlyView.Various sensing modalities enabled and/or enhanced by two‐dimensional (2D) materials are reviewed. The domains considered for sensing include: 1) optoelectronics, 2) quantum defects, 3) scanning probe microscopy, 4) nanomechanics, and 5) bio‐ and chemosensing.
Dipankar Jana +11 more
wiley +1 more source
OIL VOLATILITY-OF-VOLATILITY AND TAIL RISK OF COMMODITIES
Applied Finance LettersWe examine the information content of oil volatility-of-volatility (VOV), constructed from the past 1-month OVX (implied volatility in crude oil market), on the expected tail risk of commodities.
Yahua Xu +2 more
doaj +1 more source
Efficient Option Pricing in Crisis Based on Dynamic Elasticity of Variance Model
Discrete Dynamics in Nature and Society, 2016 Market crashes often appear in daily trading activities and such instantaneous occurring events would affect the stock prices greatly. In an unstable market, the volatility of financial assets changes sharply, which leads to the fact that classical ...
Congyin Fan, Kaili Xiang, Peimin Chen
doaj +1 more source
Adjoint methods for computing sensitivities in local volatility surfaces [PDF]
, 2010 In this paper we present the adjoint method of computing sensitivities of option prices with respect to nodes in the local volatility surface. We first introduce the concept of algorithmic differentiation and how it relates to\ud path-wise sensitivity ...
Spilda, Juraj
core +1 more source
The Heston stochastic volatility model in Hilbert space
, 2017 We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process is then defined
Benth, Fred Espen +1 more
core +1 more source
3D Digital Light Processing of Redox‐Active Polymers for Electrochemical Applications
Advanced Functional Materials, EarlyView.3D printing of electrochemically switchable conducting polymers is achieved by Digital Light Processing of redox‐active carbazole‐based polymer materials. Complex 2D and 3D architectures including dot arrays and pyramids clearly show the potential for novel 3D switchable electrochemical devices for sensors, electrochromic displays as well as 3D printed
Christian Delavier +4 more
wiley +1 more source
Journal of Business Economics and Management, 2020 Economic policy drives investment, production, employment, and other macroeconomic indicators of the economy. The study examines the equity, commodity, interest rates, and currency markets, taking into consideration the US economic policy uncertainty ...
Imlak Shaikh
doaj +1 more source
Forward looking information in S&P 500 options [PDF]
Implied volatility generated from observed option prices reflects market expectations of future volatility. This paper determines whether or not, implied volatilities, and hence market expectations, contain any genuinely forward looking information not ...
Adam E Clements +2 more
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