Results 311 to 320 of about 2,722,175 (379)
Some of the next articles are maybe not open access.
2011
Publisher Summary This chapter introduces some common types of options and provides a step-bystep approach to valuing them. The methods introduced include closed-form models, partial-differential equations, and binomial lattices through the use of risk-neutral probabilities. The advantages and disadvantages of each method are discussed.
Morton Glantz, Johnathan Mun
openaire +2 more sources
Publisher Summary This chapter introduces some common types of options and provides a step-bystep approach to valuing them. The methods introduced include closed-form models, partial-differential equations, and binomial lattices through the use of risk-neutral probabilities. The advantages and disadvantages of each method are discussed.
Morton Glantz, Johnathan Mun
openaire +2 more sources
Japan journal of industrial and applied mathematics, 2021
When solving the American options with or without dividends, numerical methods often obtain lower convergence rates if further treatment is not implemented even using high-order schemes.
Chinonso Nwankwo, W. Dai
semanticscholar +1 more source
When solving the American options with or without dividends, numerical methods often obtain lower convergence rates if further treatment is not implemented even using high-order schemes.
Chinonso Nwankwo, W. Dai
semanticscholar +1 more source
A More Accurate Finite Difference Approximation for the Valuation of Options
Journal of Financial and Quantitative Analysis, 1982Schwartz [3] proposed a model to solve for the value of a warrant or an option when a closed-form solution of the valuation equation cannot be obtained.
Georges Courtadon
semanticscholar +1 more source
2021
A basket option can be used to hedge the risk exposure to or speculate the market move on the underlying stock basket. Because it involves just one transaction, a basket option often costs less than multiple single options. The most important feature of a basket option is its ability to efficiently hedge risk on multiple assets at the same time. Rather
openaire +1 more source
A basket option can be used to hedge the risk exposure to or speculate the market move on the underlying stock basket. Because it involves just one transaction, a basket option often costs less than multiple single options. The most important feature of a basket option is its ability to efficiently hedge risk on multiple assets at the same time. Rather
openaire +1 more source
2021
A quanto option is an option whose payout is made in a currency other than that of the underlying security, based on a fixed exchange rate. The term “quanto” is abbreviation for “quantity adjusted” that refers to the feature where the payoff of an option is determined by the financial price of index in one currency but the actual payout if realized in ...
openaire +1 more source
A quanto option is an option whose payout is made in a currency other than that of the underlying security, based on a fixed exchange rate. The term “quanto” is abbreviation for “quantity adjusted” that refers to the feature where the payoff of an option is determined by the financial price of index in one currency but the actual payout if realized in ...
openaire +1 more source
Strategic Valuation of Smart Grid Technology Options in Distribution Networks
IEEE Transactions on Power Systems, 2017The increasing penetration of renewable distributed generation (DG) sources in distribution networks can lead to violations of network constraints. Thus, significant network reinforcements may be required to ensure that DG output is not constrained ...
I. Konstantelos, S. Giannelos, G. Strbac
semanticscholar +1 more source
Valuation of options by using Excel
2015 38th International Convention on Information and Communication Technology, Electronics and Microelectronics (MIPRO), 2015Options represent the right to buy or to sell a specific number of underlying assets (stocks, indexes, commodities etc.) at a given price in a predetermined period of time. To analyze the value of options the Black and Scholes model will be presented and special spreadsheets will be developed using only “plain vanilla” Excel, i.e.
Zdenko Prohaska +2 more
openaire +3 more sources
Long Memory Options: Valuation [PDF]
SSRN Electronic Journal, 2005 This paper demonstrates the impact of the observed financial market persistence or long term memory on European option valuation. Many empirical researchers have observed non-Fickian degrees of persistence or long memory in the financial markets different from the Fickian neutral independence (i.i.d.) of the returns innovations assumption of Black ...
SUTTHISIT JAMDEE, CORNELIS A. LOS
openaire +2 more sources
The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk
, 2017This study presents a pricing model for power exchange options, in which the possibility of default by the risky counterparty as well as the arrival of important business information are taken into consideration.
Xingchun Wang, Shiyu Song, Yongjin Wang
semanticscholar +1 more source
Financial Analysts Journal, 1977
HE May/June 1977 issue of Financial Analysts Journal presented a novel method for valuing options by using nomograms.' Nomograms allow one to obtain the value of any option, the position in the underlying stock that will neutralize the option's risk and the probability that it will pay to exercise the option at its maturityall without undertaking any ...
openaire +2 more sources
HE May/June 1977 issue of Financial Analysts Journal presented a novel method for valuing options by using nomograms.' Nomograms allow one to obtain the value of any option, the position in the underlying stock that will neutralize the option's risk and the probability that it will pay to exercise the option at its maturityall without undertaking any ...
openaire +2 more sources