Results 101 to 110 of about 1,687,826 (388)
INDIFFERENCE PRICES AND IMPLIED VOLATILITIES [PDF]
Mathematical Finance, 2016 AbstractWe consider a general local‐stochastic volatility model and an investor with exponential utility. For a European‐style contingent claim, whose payoff may depend on either a traded or nontraded asset, we derive an explicit approximation for both the buyer's and seller's indifference prices.
openaire +2 more sources
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
RisksWe study the shape of the Bachelier-implied volatility of a spread option on two assets following correlated local volatility models. This includes the limiting case of spread options on two correlated Black–Scholes (BS) assets.
Dan Pirjol
doaj +1 more source
The skew pattern of implied volatility in the DAX index options market [PDF]
The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to moneyness and option type and to compare the latter option based forecasts with historical volatility in order to see if they subsume ...
Silvia Muzzioli
core
In Situ Study of Resistive Switching in a Nitride‐Based Memristive Device
Advanced Functional Materials, EarlyView.In situ TEM biasing experiment demonstrates the volatile I‐V characteristic of MIM lamella device. In situ STEM‐EELS Ti L2/L3 ratio maps provide direct evidence of the oxygen vacancies migrations under positive/negative electrical bias, which is critical for revealing the RS mechanism for the MIM lamella device.
Di Zhang +19 more
wiley +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
A Scalable, Durable, Fire‐Safe All‐Day Passive Radiative Cooling Coating for Sustainable Buildings
Advanced Functional Materials, EarlyView.This study reports a scalable, durable coating that combines a fire‑retardant copolymer adhesive, hollow glass microspheres, and boron oxide to achieve passive radiative cooling with over 94% solar reflectance and >95% mid‑infrared emissivity. The coating maintains performance after UV and rain exposure and exhibits UL‑94 V‑0 fire resistance, enabling ...
Zhewen Ma +8 more
wiley +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 +2 more
core +1 more source
On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model [PDF]
, 2023 Elisa Alòs +2 more
openalex +1 more source