Results 91 to 100 of about 1,937,997 (308)
Migration of Price Discovery With Constrained Futures Markets [PDF]
This paper investigates the information content of futures option prices when the futures price is regulated while the futures option price itself is not. The New York Board of Trade provides the empirical setting for this type of dichotomy in regulation.
Paul Kofman +2 more
core
Option Implied Stock Buy-Side and Sell-Side Market Depths
Risks, 2019 This paper investigates option valuation when the underlying market suffers from illiquidity of price impact. Using option data, I infer trading activities and price impacts on the buy side and the sell side in the stock market from option prices across ...
Feng-Tse Tsai
doaj +1 more source
An Option Pricing Model With Memory
Communications on Stochastic Analysis, 2017 We obtain option pricing formulas for stock price models in which the drift and volatility terms are functionals of a continuous history of the stock prices. That is, the stock dynamics follows a nonlinear stochastic functional differential equation.
Sancier, Flavia, Mohammed, Salah
openaire +4 more sources
Reconstructing enzyme evolution by protein engineering
FEBS Letters, EarlyView.Natural enzyme evolution can be retraced by protein engineering methods such as directed evolution, rational design, and ancestral sequence reconstruction. These approaches reveal how enzymes emerged from ligand‐binding scaffolds, developed varying substrate preferences, formed oligomeric complexes, adapted to environmental changes, and evolved novel ...
Lukas Drexler +2 more
wiley +1 more source
Efficient computation of option price sensitivities for options of American style [PDF]
No front-office software can survive without providing derivatives of option prices with respect to underlying market or model parameters, the so called Greeks.
Wallner, Christian, Wystup, Uwe
core
On the future contract quality option: a new look [PDF]
, 2006 The paper provide a new method to replicate and price the quality options usually embedded in many future contracts. The replicating strategies may draw on both the future contract and its related calls and puts.
Balbás, Alejandro, Reichardt, Susana
core +1 more source
FEBS Letters, EarlyView.The process of internalization of the Shiga toxin A subunit via formation of a complex with the Shiga toxin B subunit, which specifically binds to the Gb3 receptor. The peptide is designed to act as a carrier of drugs into cancer cells. Here, we explored the potential of peptides derived from the catalytic A subunit of Shiga toxin (STxA) to be drug ...
Giulia Opassi +6 more
wiley +1 more source
Nonparametric option pricing with no-arbitrage constraints [PDF]
We propose a completely kernel based method of estimating the call price function or the state price density of options. The new estimator of the call price function fulfills the constraints like monotonicity and convexity given in Breeden and ...
Birke, Melanie, Pilz, Kay F.
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Engineering peptides into antibodies—opportunities and strategies for therapeutic innovation
FEBS Letters, EarlyView.Peptides and antibodies occupy complementary therapeutic niches. Peptides recognize difficult targets in a compact format, while antibodies add specificity, long half‐life, and effector functions. This review examines strategies that merge both modalities—peptide grafting into loops, terminal and Fc fusions, and bioconjugation—highlighting how ...
Jinling Wang +2 more
wiley +1 more source
OPTION PRICING WITH V. G. MARTINGALE COMPONENTS [PDF]
European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). The incomplete markets equilibrium change of measure is approximated and identified using the log return mean ...
Dilip Madan, Frank Milne
core