Results 11 to 20 of about 158,857 (263)

American put options with regime-switching volatility [PDF]

Seonmul yeongu, 2005
We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the ...
Bong-Gyu Jang, Hyeng Keun Koo
doaj   +2 more sources

Neural Network Pricing of American Put Options [PDF]

Risks, 2020
In this study, we use Neural Networks (NNs) to price American put options. We propose two NN models—a simple one and a more complex one—and we discuss the performance of two NN models with the Least-Squares Monte Carlo (LSM) method. This study relies on American put option market prices, for four large U.S.
Raquel M. Gaspar, Sara D. Lopes, Bernardo Sequeira   +2 more
openaire   +5 more sources

Optimal Pricing and Ordering Strategies with a Flexible Return Strategy under Uncertainty

Mathematics, 2021
To coordinate the supply chain risk caused by demand uncertainty, this paper proposed a flexible return strategy under demand uncertainty, in which the retailer can choose return quantity independently by put option after the selling season, while the ...
Pan Guo, Yanlin Jia, Junwei Gan, Xiaofeng Li   +3 more
doaj   +1 more source

Sensitivity of option contracts

Business: Theory and Practice, 2013
There are plenty of reasons why investors use option contracts in their portfolios. The main reason for using such contracts or their strategies is to hedge against risk concerned with the uncertainty of underlying asset price movements.
Raimonda Martinkute-Kauliene
doaj   +1 more source

The Relationship between Stock Liquidity Dimensions and Put Option Volume as a New Financial Instrument [PDF]

راهبرد مدیریت مالی, 2017
The aim of this study was to evaluate the relationship between stock liquidity dimensions and put option volume vas a new financial instrument in Iran.
Ali Khozein
doaj   +1 more source

Assessing the cost of Iran deposit insurance (Iran) [PDF]

مدلسازی اقتصادسنجی, 2017
Considering the role and importance of the banking system in the economic growth and development of countries, attention to the stability of the banking system has an undeniable role in economic stability.
hossein amiri
doaj   +1 more source

PRICING OF THE ASIAN OPTION WITH THE KAMRAD-RITCHKEN’S TRINOMIAL MODEL

Barekeng
Asian Option determines its payoff option value by the average stock during the option period. This research aims to determine the price of Asian Option by average arithmetic using Kamrad-Ritchken’s Trinomial method.
Jihan Nabila Wafa’, Emy Siswanah
doaj   +1 more source

Hedging of Sales by Zero-cost Collar and its Financial Impact [PDF]

Journal of Competitiveness, 2012
The zero-cost option structures appeared in 90´s and became popular tool of hedging. They come of combination of standard and also exotic option. The paper deals with the most famous of them - zero-cost collar strategy.
Bartoňová Marie
doaj  

Real option valuation using Weibull distribution: a new framework for depreciation risk management [PDF]

Seonmul yeongu
This study aims to develop an accurate option pricing model for car leases by introducing a put option valuation framework based on the Weibull distribution.
Seok Bin Ko
doaj   +1 more source

Option Contracts in Fresh Produce Supply Chain with Freshness-Keeping Effort

Mathematics, 2022
This study investigates a supply chain of fresh produce with consideration of option contracts and where stochastic market demand depends on freshness-keeping effort.
Deng Jia, Chong Wang
doaj   +1 more source