Results 71 to 80 of about 4,327,344 (283)

An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market [PDF]

, 2005
Includes bibliographical references.The assumption of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset.
Chen, Hung-Hsiang
core   +1 more source

Using Time-Space Double Radial Basis Function Method to Solve High-Dimensional PDEs Arising from Multiasset Option Pricing

Discrete Dynamics in Nature and Society
This paper develops a time-space double radial basis function (TSDRBF) method to solve PDEs arising from multiasset option pricing. By TSDRBF discretization for the high-dimensional PDEs, a linear system (LS) is obtained.
Zhiqiang Zhou, Hongying Wu, Caijuan Kang, You Wu   +3 more
doaj   +1 more source

Managing Option Fragility [PDF]

We analyze and explore option fragility, the notion that option incentives are fragile due to their non-linear payoff structure. Option incentives become weaker as options fall underwater, leading to pressures to reprice options or restore incentives ...
Brian J. Hall, Thomas A. Knox
core  

Fabrication Routes for Ionic Conducting Fiber Strain Sensors

Advanced Engineering Materials, EarlyView.
Ionic conducting fiber strain sensors (ICFSs) offer compliant, textile‐integrable sensing. Thus far, the commercialization of ICFSs has been constrained by fiber fabrication routes. This review provides a fabrication‐centric analysis of ICFSs correlating processing strategies with material properties and scalability.
Leo John Kershaw, Zhanhong Yang, Anne Ladegaard Skov, Magdalena Skowyra   +3 more
wiley   +1 more source

Asset Pricing Under Information with Stochastic Volatility [PDF]

Based on a general specification of the asset specific pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas.
Bertram Düring
core  

Materials‐Driven Additive Manufacturing for Electrical Machines: Qualification‐Oriented Design Beyond Geometric Freedom

Advanced Engineering Materials, EarlyView.
This perspective reframes additive manufacturing for electrical machines as a qualification‐limited materials and architecture design problem. It links process–structure–property–performance relationships to magnetic, conducting, dielectric, and thermal property windows, highlighting where AM can enable segmented magnetic circuits, permanent magnet ...
Dénes Fodor, Loránd Szabó
wiley   +1 more source

Effect of Cu and CuP Additions on the Microstructure and Nanoindentation‐Based Fracture Behavior of CoNiAlSi Ferromagnetic Shape Memory Alloys

Advanced Engineering Materials, EarlyView.
Cu and combined Cu–P microalloying refine the microstructure and enhance the nanoindentation‐derived fracture resistance of CoNiAlSi ferromagnetic shape memory alloys without suppressing the martensitic transformation. Comparative SEM, DSC, and nanoindentation results reveal that the CuP‐containing alloy provides the most balanced response, achieving ...
Mehmet Demir
wiley   +1 more source

Analytic approximations for multi-asset option pricing

, 2012
We derive general analytic approximations for pricing European basket and rainbow options on N assets. The key idea is to express the option’s price as a sum of prices of various compound exchange options, each with different pairs of subordinate multior
Aanand Venkatramanan (16136270), Carol Alexander (4460518)   +1 more
core  

Historical Foundation and Practical Guideline for Ferroelectric Switching Kinetic Studies

Advanced Functional Materials, EarlyView.
The P and U pulses in the conventional PUND measurements are not identical because of the interplay between switching current and the measurement circuit components. This circuit effect can lead to a shift in polarization transients and misinterpreted physics in the switching kinetics.
Yi Liang, Pat Kezer, John T. Heron
wiley   +1 more source

Superreplication method for multi-asset barrier options.

, 2005
The aim of this thesis is to study multi-asset barrier options, where the volatilities of the stocks are assumed to define a matrix-valued bounded stochastic process. The bounds on volatilities may represent, for instance, the extreme values of the volatilities of traded options.
openaire   +2 more sources