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OPTION BETAS: RISK MEASURES FOR OPTIONS [PDF]
International Journal of Theoretical and Applied Finance, 2007 This paper deals with the problem of determining the correct risk measure for options in a Black–Scholes (BS) framework when time is discrete. For the purposes of hedging or testing simple asset pricing relationships previous papers used the "local", i.e., the continuous-time, BS beta as the measure of option risk even over discrete time intervals. We
NICOLE BRANGER, CHRISTIAN SCHLAG
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1996
Abstract The first section of this chapter discusses the basic features of option contracts, with special reference to stock options, including the way in which the contractual elements of an option (such as the maturity or exercise price) have been standardized to facilitate trading.
Hendrik S. Houthakker +1 more
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Abstract The first section of this chapter discusses the basic features of option contracts, with special reference to stock options, including the way in which the contractual elements of an option (such as the maturity or exercise price) have been standardized to facilitate trading.
Hendrik S. Houthakker +1 more
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Nursing Older People, 2009
There is no single method of urinary catheterisation that suits all patients. Options available are intermittent catheterisation and indwelling catheterisation, which can be urethral or suprapubic. Suprapubic catheterisation involves insertion through the abdomen into the bladder.
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There is no single method of urinary catheterisation that suits all patients. Options available are intermittent catheterisation and indwelling catheterisation, which can be urethral or suprapubic. Suprapubic catheterisation involves insertion through the abdomen into the bladder.
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The Journal of Derivatives, 2016
We document the outcome of an options decimalization pilot on Canada’s derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options.
Chin, Faith, Garriott, Corey
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We document the outcome of an options decimalization pilot on Canada’s derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options.
Chin, Faith, Garriott, Corey
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Wastewaters often contain an array of economically valuable elements, including elements considered critical raw materials and elements for fertilizer production. Plant-based treatment approaches in constructed wetlands, open ponds, or hydroponic systems represent an eco-friendly and economical way to remove potentially toxic metal(loid)s from ...
Alla, Samarska, Oliver, Wiche
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Alla, Samarska, Oliver, Wiche
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The Journal of Arthroplasty, 2003
Cemented acetabular options have failed anywhere between 10% and 23% over the years and have not improved with increasing cement technology. Cementless technology, however, has basically stopped the problems of prosthesis loosening; however, wear has become a major concern.
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Cemented acetabular options have failed anywhere between 10% and 23% over the years and have not improved with increasing cement technology. Cementless technology, however, has basically stopped the problems of prosthesis loosening; however, wear has become a major concern.
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Theory of Probability & Its Applications, 1995
An option of the American type with the payment function \[ f_t= e^{- \lambda t} \Biggl[ \int^t_0 S_u du+ s\psi_0\Biggr] \] (where \(\lambda> 0\), \(\psi_0\geq 0\) are constants, \(s= S_0\)) is considered in a diffusion model of a BS-market consisting of two assets: a riskless bank account \(B= (B_t)_{t\geq 0}\), and a stock \(S= (S_t)_{t\geq 0 ...
Kramkov, D. O., Mordecki, E.
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An option of the American type with the payment function \[ f_t= e^{- \lambda t} \Biggl[ \int^t_0 S_u du+ s\psi_0\Biggr] \] (where \(\lambda> 0\), \(\psi_0\geq 0\) are constants, \(s= S_0\)) is considered in a diffusion model of a BS-market consisting of two assets: a riskless bank account \(B= (B_t)_{t\geq 0}\), and a stock \(S= (S_t)_{t\geq 0 ...
Kramkov, D. O., Mordecki, E.
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Parallel option pricing on GPU: barrier options and realized variance options
The Journal of Supercomputing, 2012This paper shows two examples of how the analysis of option pricing problems can lead to computational methods efficiently implemented in parallel. These computational methods outperform “general purpose” methods (i.e., for example, Monte Carlo, finite differences methods).
Lorella Fatone +4 more
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Mathematical Finance, 1999
Motivated by risk management problems with barrier options, we propose a flexible modification of the standard knock‐out and knock‐in provisions and introduce a family of path‐dependent options: step options. They are parametrized by a finite knock‐out (knock‐in) rate, ρ.
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Motivated by risk management problems with barrier options, we propose a flexible modification of the standard knock‐out and knock‐in provisions and introduce a family of path‐dependent options: step options. They are parametrized by a finite knock‐out (knock‐in) rate, ρ.
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