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An inverse finance problem for estimation of the volatility
Журнал вычислительной математики и математической физики, 2013Summary: The Black-Scholes model as a base model for pricing in derivatives markets has some deficiencies such as ignoring market jumps and considering market volatility as a constant factor. In this article, we introduce a pricing model for European options under jump-diffusion underlying asset.
Neisy, A., Salmani, K.
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How Do Financing Constraints Affect Firms’ Equity Volatility?
The Journal of Finance, 2018ABSTRACTTheory suggests that financing frictions can have significant implications for equity volatility by shaping firms’ exposure to economic risks. This paper provides evidence that an important determinant of higher equity volatility among research and development (R&D)‐intensive firms is fewer financing constraints on firms’ ability to access ...
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Behavioral Finance: Volatility in Financial Markets
Bulletin of Chelyabinsk State University, 2021N. V. Kim, N. A. Balysheva
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Utilizing Topographic Finance to Understand Volatility (Presentation Slides)
SSRN Electronic Journal, 2016Topographic finance is the study of surfaces to describe financial systems in multiple dimensions. The problem with finance and economics is to describe accurately what is actually governing price dynamics. The price dynamics are behavioral and do not exhibit a rational maximization of a utility function.
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Range Volatility Models and Their Applications in Finance
2010There has been a rapid growth of range volatility due to the demand of empirical finance. This paper contains a review of the important development of range volatility, including various range estimators and range-based volatility models. In addition, other alternative models developed recently, such as range-based multivariate volatility models and ...
Ray Yeutien Chou +2 more
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Valuation and the Volatility of Financing and Investment [PDF]
, 2010 all projects are funded. In the region of multiplicity, the move from a pooling (socially efficient) equilibrium to a valuation (socially inefficient) equilibrium involves many features of a financial crisis: prices decline (interest spreads rise); real investment declines; unsophisticated investors leave the market (flight to quality) and ...
Jonathan A. Parker, Michael Fishman
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Behavioral Finance: Understanding Investor Psychology in Volatile Markets
The comprehension of the impact of psychological elements on financial decision-making, especially in unstable markets, has resulted in the emergence of behavioral finance as a significant area of study. Classical finance presupposes that markets consistently operate efficiently, but behavioral finance recognizes that investors may not always exhibit ...Rohith R, Rema K
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Trends and Volatility in School Finance
American Journal of Agricultural Economics, 2009Mary Clare Ahearn +2 more
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