An empirical investigation of UK option returns: overpricing and the role of higher systematic moments [PDF]
, 2004 The Capital Asset Pricing Model (CAPM) assumes either that all asset returns are normally distributed or that investors have mean-variance preferences. Given empirical observations of asset returns, which document evidence of skewness and kurtosis, both ...
Shackleton, M B, O'Brien, F
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Pricing American derivatives and interest rates derivatives based on characteristic function of the underlying asset returns [PDF]
, 2003 PhDIn this thesis I introduce a new methodology for pricing American options when the underlying model of the asset price allows for stochastic volatility and/or it has a multi-factor structure.
Wang, Shijun
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Pressure management in smart gas networks for increasing hydrogen blending [PDF]
E3S Web of Conferences, 2022 The injection of hydrogen into existing gas grids is acknowledged as a promising option for decarbonizing gas systems and enhancing the integration among energy sectors. Nevertheless, it affects the hydraulics and the quality management of networks. When
Cavana Marco +2 more
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Certificate pricing using Discrete Event Simulations and System Dynamics theory [PDF]
Risk Management Magazine, 2021 The study proposes an innovative application of Discrete Event Simulations (DES) and System Dynamics (SD) theory to the pricing of a certain kind of certificates very popular among private investors and, more generally, in the context of wealth ...
Pier Giuseppe Giribone +1 more
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Pricing Multi-Asset Options with an External Barrier [PDF]
International Journal of Theoretical and Applied Finance, 1998 An external barrier of an option contract is a stochastic variable which determines whether the option is knocked in or out when the value of the variable is above or below some predetermined level, but itself is not the price of an asset which underlies the option.
Kwok, Yue-Kuen, Wu, Lixin, Yu, Hong
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A dynamic partial equilibrium model of capital gains taxation
Journal of Finance and Data Science, 2023 We analyze a multi-period model of capital gains taxation with endogenous prices. Relative to an economy without taxation, a capital gains tax tends to lower prices and increase returns.
Stephen L. Lenkey, Timothy T. Simin
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Multi-asset American Options and Parallel Quantization [PDF]
Methodology and Computing in Applied Probability, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bronstein, A., Pagès, G., Portès, J.
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Parallel Computing Method of Valuing for Multi-asset European Option [PDF]
International Journal of Information Technology & Decision Making, 2003 A critical problem in finance engineering is to value the option and other derivatives securities correctly. The Monte Carlo method (MC) is an important one in the computation for the valuation of multi-asset European option. But its convergence rate is very slow.
Weimin Zheng +3 more
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Bayesian Analysis of the Black-Scholes Option Price [PDF]
, 2004 This paper investigates the statistical properties of the Black-Scholes option price under a Bayesian approach. We incorporate randomness, both in the price process and in volatility, to derive the prior and posterior densities of a European call option.
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A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs
Journal of Management Science and Engineering, 2016 :: This paper provides a difference-in-opinions equilibrium framework for pricing asset and option in a multi-period binomial economy with heterogeneous beliefs.
Xue-Zhong He, Lei Shi
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