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Multiperiod ordering model with put option contracts under inflation [PDF]
E3S Web of Conferences, 2021 This paper considers the rising price and the shrinking demand caused by the inflation. To manage these above risks, the firm has a chance to place two types of orders in each period, viz., the firm order and the put options order.
Wan Nana, Li Li
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Option volume and stock returns: evidence from single stock options on the Korea Exchange [PDF]
Seonmul yeongu, 2021 Informed traders may prefer the options market to the stock market for reasons including the leverage effect, transaction costs, restrictions on short sale.
Mincheol Woo, Meong Ae Kim
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Stochastic Volatility Estimation of Stock Prices using the Ensemble Kalman Filter
InPrime, 2021 Volatility plays important role in options trading. In their seminal paper published in 1973, Black and Scholes assume that the stock price volatility, which is the underlying security volatility of a call option, is constant.
Yudi Mahatma, Ibnu Hadi
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Mathematics, 2022 In this article, we analyse the impact of the introduction of options on an investment portfolio. Our first objective is to derive closed-form formulae for the standard measures of portfolio efficiency: risk premium, risk, Sharpe ratio, and beta, of any ...
David Buckle
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A Quasi-Closed-Form Solution for the Valuation of American Put Options
International Journal of Financial Studies, 2020 This study develops a quasi-closed-form solution for the valuation of an American put option and the critical price of the underlying asset. This is an important area of research both because of a large number of transactions for American put options on ...
Cristina Viegas, José Azevedo-Pereira
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Heliyon, 2020 In this study, we analyzed option pricing of rainfall derivatives based on stochastic daily rainfall model. We used Markov Chain Analogue Year model (MCAY) in order to describe occurrence process of daily rainfall. We have included the Analogue Year (AY)
Tesfahun Berhane +3 more
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Risk reduction in wheat production with weather put option [PDF]
Ratarstvo i Povrtarstvo, 2011 In this paper is analysed hedging effectiveness in wheat production in Srem Serbia with rainfall put option. It follows that effect of risk reduction is significant if the field of production is close to the meteorological station and if a high ...
Marković Todor, Jovanović Milenko
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ACCOUNTING FOR OPTIONS AND ANALYSIS OF USE OF OPTION COMBINATION STRATEGIES
Вісник Київського національного університету імені Тараса Шевченка. Серія Економіка, 2016 The article deals with problems of accounting for options in Ukraine, namely: value expression of initial cost of options, their revaluation, accounting of premiums, financial assets and financial liabilities and variation margin.
I. Derun
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Capital-protected funds with fixing of realized appreciations
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2005 Capital-protected funds of collective investments can be adequate investment opportunity for higher risk aversion investors with lower liquidity requirements. These funds always guarantee mostly 100% investment recovery and an appreciation sometimes.
Roman Ptáček
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Pricing American Put Option using RBF-NN: New Simulation of Black-Scholes
Moroccan Journal of Pure and Applied Analysis, 2022 The present work proposes an Artificial Neural Network framework for calculating the price and delta hedging of American put option. We consider a sequence of Radial Basis function Neural Network, where each network learns the difference of the price ...
Zaineb El Kharrazi +2 more
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