Results 131 to 140 of about 1,041,681 (327)
Option Pricing under the Jump Diffusion and Multifactor Stochastic Processes
Journal of Function Spaces, 2019 In financial markets, there exists long-observed feature of the implied volatility surface such as volatility smile and skew. Stochastic volatility models are commonly used to model this financial phenomenon more accurately compared with the conventional
Shican Liu +3 more
doaj +1 more source
Bivariate Volatility Modeling with High-Frequency Data
Econometrics, 2019 We propose a methodology to include night volatility estimates in the day volatility modeling problem with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity (GARCH) framework, which takes advantage of the natural
Marius Matei, Xari Rovira, Núria Agell
doaj +1 more source
Advanced Functional Materials, EarlyView.The negative differential resistance is exploited, using a La0.67Sr0.33MnO3 thin film network to demonstrate various neuronal functionalities of the human brain, such as leaky‐integrate‐fire and oscillatory patterns. Transmission electron microscope studies show local modification in oxygen octahedra in the network leads to co‐existing phases ...
Azminul Jaman +6 more
wiley +1 more source
PRICE VOLATILITY AND SPILLOVER OF BIG CAYENNE (Capsicum annuum L.) IN MALANG DISTRICTS
AGRISE, 2019 Production of big cayenne in Malang Districts has trend increase while consumption has trends decrease make excess supply. Unbalanced supply and demand causes price fluctuation between producers and consumers.
Nurul Khabibah +2 more
doaj +1 more source
Power and bipower variation with stochastic volatility and jumps
, 2003 This paper shows that realised power variation and its extension we introduce here called realised bipower variation is somewhat robust to rare jumps.
O. Barndorff-Nielsen, N. Shephard
semanticscholar +1 more source
Natural volatility and option pricing [PDF]
In this paper we recover the Black-Scholes and local volatility pricing engines in the presence of an unspecified, fully stochastic volatility. The input volatility functions are allowed to fluctuate randomly and to depend on time to expiration in a ...
Carey, Alexander
core +1 more source
Advanced Functional Materials, EarlyView.The non‐fullerene acceptor o‐IDT‐BT‐DCV is used in both binary and ternary blends to investigate the role that it plays in each device architecture. The charge generation pathways are found to differ between the binary and ternary blends with o‐IDT‐BT‐DCV becoming a second donor in the ternary blend.
Hui Jin +10 more
wiley +1 more source
Volatility and returns of the New Third Board market in China
Journal of Finance and Data Science, 2016 In this paper, we analyze the return–volatility relation for the New Third Board market in China. Various properties for cross sectional (daily and weekly) returns and volatility are obtained and interpreted.
Weiping Li, Gaoxiu Qiao
doaj +1 more source
Shape‐Stabilization of Phase Change Materials with Carbon‐Conscious Poly(hydroxy)Urethane Foams
Advanced Functional Materials, EarlyView.Poly(hydroxy)urethane (PHU) foam, derivable from carbon dioxide (CO2) and bio‐based resources, is a promising material platform for shape‐stabilizing phase change materials (PCMs). We demonstrate the encapsulation of both paraffins and calcium chloride hexahydrate in PHU foam, achieving 48 stable thermal cycles by introducing 5 wt.% barium carbonate ...
Minjung Lee +5 more
wiley +1 more source
A New Approach to Build a Successful Straddle Strategy: The Analytical Option Navigator
RisksThe study described in this paper develops a new technique which permits the execution of an open straddle strategy based on the superior volatility forecast for analyzing historical data. We extend the current litearure by measuring the volatility of an
Orkhan Rustamov +3 more
doaj +1 more source