Results 251 to 260 of about 320,727 (290)

The Statistical Properties of the Black–Scholes Option Price

Mathematical Finance, 1997
This paper investigates the statistical properties of the Black–Scholes option price, considered as a random variable. The option is conditioned on the current price and/or the estimated volatility of the underlying security. In both cases, some exact results for the distribution functions of the true option price and the predicted option price are ...
Ncube, Mthuli, Satchell, Stephen
openaire   +2 more sources

The approximate option pricing model: performances and dynamic properties

Journal of Multinational Financial Management, 2001
Using high frequency data from ParisBourse SA, this article examines pricing and hedging performances of the Jarrow and Rudd (Journal of Financial Economics 10 (1982) pp. 347–369) model. We first find that this model improves the pricing of CAC 40 index European call options whether in-sample or out-of-sample, and whatever economic or statistic ...
Capelle-Blancard, Gunther, Jurczenko, Emmanuel, Maillet, Bertrand   +2 more
openaire   +3 more sources

Designing Property Futures Contracts and Options Based on NCREIF Property Indices

Journal of Real Estate Portfolio Management, 2006
Executive Summary.Due to the heterogeneous nature of real estate assets, as well as the difficulty in selecting a reliable and representative underlying index, real estate markets are the last of t...
Patrick Lecomte, Will McIntosh
openaire   +1 more source

Testing the Monotonicity Property of Option Prices

The Journal of Derivatives, 2006
One of the most basic properties of rational option pricing is that a rise in the price of the underlying increases the value of a call and decreases the value of a put. But results reported in the literature have found that for options on the S&P 500 Index this principle is violated in practice on the order of 10 percent of the time.
openaire   +1 more source

Options: General Properties

2011
Marek Capiński, Tomasz Zastawniak
openaire   +1 more source

Untested Admissions: Examining Changes in Application Behaviors and Student Demographics Under Test-Optional Policies

American Educational Research Journal, 2022
Christopher T Bennett
exaly  

New general interaction solutions to the KPI equation via an optional decoupling condition approach

Communications in Nonlinear Science and Numerical Simulation, 2021
Xing Lue
exaly  

Reputation and punishment sustain cooperation in the optional public goods game

Philosophical Transactions of the Royal Society B: Biological Sciences, 2021
Shirsendu Podder, Simone Righi, Francesca Pancotto   +2 more
exaly  

On a queueing inventory problem with necessary and optional inventories

Annals of Operations Research, 2021
Dhanya Shajin, Jaison Jacob, Achyutha Krishnamoorthy   +2 more
exaly  

Should Optional Properties Be Used in Conceptual Modelling? A Theory and Three Empirical Tests

Information Systems Research, 2001
Ron Weber
exaly