Results 91 to 100 of about 5,049 (220)
Option Pricing in a Fractional Brownian Motion Environment [PDF]
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian ...
Cipian Necula
core
Journal of Futures Markets, Volume 45, Issue 8, Page 917-945, August 2025.ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from
Tak Kuen Siu
wiley +1 more source
MathematicsThis paper addresses the valuation of European options, which involves the complex and unpredictable dynamics of fractal market fluctuations. These are modeled using the α-order time-fractional Black–Scholes equation, where the Caputo fractional ...
Xin Cai, Yihong Wang
doaj +1 more source
A Framework for Derivative Pricing in the Fractional Black-Scholes Market [PDF]
The aim of this paper is to develop a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
core
Number Two Executives: Bottom‐Up Monitoring
Journal of Business Finance &Accounting, Volume 52, Issue 4, Page 2037-2061, August 2025.ABSTRACT This article empirically examines the role of a firm's second‐in‐command in monitoring the chief executive officer (CEO) from the bottom up to mitigate agency problems. Although CEOs have long been the focus, little research has addressed No. 2 executive. This study provides a comprehensive understanding of these top executives and their roles
Zhichuan (Frank) Li
wiley +1 more source
Institutional Investors and the Fight Against Climate Change
Corporate Governance: An International Review, Volume 33, Issue 4, Page 663-679, July 2025.ABSTRACT Research Question/Issue This article examines the role of institutional investors in the fight against climate change. We explain the institutional context, provide evidence highlighting institutional investors' bright and dark sides in this fight, and develop multiple ideas for future research.
Thea Kolasa, Zacharias Sautner
wiley +1 more source
Precise asymptotics: robust stochastic volatility models
, 2018 We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices.
Friz, Peter K. +2 more
core +2 more sources
Analytically pricing double barrier options based on a time-fractional Black–Scholes equation
Computers & Mathematics with Applications, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chen, Wenting, Xu, Xiang, Zhu, Song-Ping
openaire +2 more sources
Global Biogeochemical Cycles, Volume 39, Issue 4, April 2025.Abstract Nitrous oxide (N2O) is a potent greenhouse gas with its radiative forcing 265–298 times stronger than that of carbon dioxide (CO2). Recent field studies show N2O emissions from northern high latitude (north of 45°N) ecosystems have increased due to warming.
Ye Yuan +3 more
wiley +1 more source
Numerical methods for fractional Black-Scholes equations and their applications to option pricing [PDF]
, 2023 Xingyu An, Xingyu An
openalex +1 more source