Results 91 to 100 of about 118,948 (346)

Implied volatility of basket options at extreme strikes

, 2014
In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality.
A d’Aspremont, A Gulisashvili, A Gulisashvili, A Gulisashvili, A Gulisashvili, A Lewis, A Medvedev, B Jourdain, E Benhamou, E Eberlein, E Gobet, E Hashorva, E Luciano, H Berestycki, J Figueroa-López, J Schoenmakers, JMP Albin, L Andersen, M Forde, M Forde, MR Tehranchi, O Barndorff-Nielsen, P Tankov, R Cont, R Lee, R Nelsen, S Asmussen, S Benaim, S Benaim, U Cherubini   +29 more
core   +1 more source

Dual‐Site Ru Single‐Atoms and RuP Nanoclusters on N, P, and B Co‐Doped Porous Carbon for Efficient Alkaline HER and AEM Water Electrolysis

Advanced Functional Materials, EarlyView.
Ru single atoms and RuP nanoclusters are co‐anchored in N, P, and B co‐doped porous carbon nanospheres via in situ carbonization/phosphidation of a boronate polymer precursor. RuP activates water, while nearby Ru single atoms accelerate H2 formation through H* transfer. The catalyst delivers low overpotential and high durability in alkaline HER and AEM
Xiaohong Wang, Juguo Dai, Dongxu Li, Jianghua Wu, Hucheng Fu, Yiting Xu, Xueqiang Qi, Qian Xue, Yanbin Shen, Xiaoqing Pan, Conghui Yuan, Shuifen Xie, Andreu Cabot, Lizong Dai   +13 more
wiley   +1 more source

Sound Deposit Insurance Pricing Using a Machine Learning Approach

Risks, 2019
While the main conceptual issue related to deposit insurances is the moral hazard risk, the main technical issue is inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage.
Hirbod Assa, Mostafa Pouralizadeh, Abdolrahim Badamchizadeh   +2 more
doaj   +1 more source

COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover. [PDF]

Financ Res Lett, 2022
Di M, Xu K.
europepmc   +1 more source

Tracking Brazilian Exchange Rate Volatility [PDF]

This paper examines the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the ...
Benjamin Miranda Tabak, Eui Jung Chang, Sandro Canesso de Andrade   +2 more
core  

Molecularly Engineered Highly Stable Memristors with Ultra‐Low Operational Voltage: Integrating Synthetic DNA with Quasi‐2D Perovskites

Advanced Functional Materials, EarlyView.
Molecularly engineered memristors integrating Ag nanoparticle–embedded synthetic DNA with quasi‐2D halide perovskites enable ultra‐low‐operational voltage, forming‐free resistive switching, and record‐low power density. This synergistic integration of customized DNA and 2D OHP in bio‐hybrid architecture enhances charge transport, reduces variability ...
Kavya S. Keremane, Abhinav Gorthy, Luyao Zheng, Chiranth C Ravi, Haodong Wu, Jiamao Zheng, Neela H. Yennawar, Shashank Priya, Rashmi Jha, Bed Poudel   +9 more
wiley   +1 more source

4D‐Printable Poly(Thio)urethane Photoresins With Reactive Oxygen Species Responsiveness and Anti‐Inflammatory Functionality

Advanced Functional Materials, EarlyView.
This work introduces UV‐curable poly(thio)urethane (PSU) thermosets as 4D printable scaffolds responsive to oxidative stress. PSU networks with 100 wt.% polypropylene glycol (PPG) effectively suppress inflammatory markers in microglial cells to basal values.
Xabier Lopez de Pariza, Lolita Arévalo‐Lagos, Louise Breloy, Oihane Varela, Aitor Larrañaga, Juan F. Cadavid‐Vargas, Olaia Garagarza‐Goienetxea, Melissa Moya‐Granados, Vanessa Bagnarello, Haritz Sardon, Miryam Criado‐Gonzalez   +10 more
wiley   +1 more source

Predicting Implied Volatility in the Commodity Futures Options Markets

The International Journal of Banking and Finance, 2003
Both academics and practitioners have a substantial interest in understanding interest in understanding patterns in implied volatility that are recoverable from commodity futures option.
Stephen Ferris, Weiyu Guo, Tie Su
doaj  

Calibration of the Volatility in Option Pricing Using the Total Variation Regularization

Journal of Applied Mathematics, 2014
In market transactions, volatility, which is a very important risk measurement in financial economics, has significantly intimate connection with the future risk of the underlying assets.
Yu-Hua Zeng, Shou-Lei Wang, Yu-Fei Yang
doaj   +1 more source

An Hilbert space approach for a class of arbitrage free implied volatilities models [PDF]

We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to
Brace, Alan, Fabbri, Giorgio, Goldys, Benjamin   +2 more
core   +1 more source