Stochastic Volatility, Smile & Asymptotics
, 1998 We consider the pricing and hedging problem for options on stocks whose volatility is a random process. Traditional approaches, such as that of Hull & White, have been successful in accounting for the much observed smile curve, and the success of a ...
K. Ronnie Sircar, George C. Papanicolaou
core
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley +1 more source
Learning agents in Black-Scholes financial markets. [PDF]
R Soc Open Sci, 2020 Vaidya T, Murguia C, Piliouras G.
europepmc +1 more source
Reduced effects of social feedback on learning in Turner syndrome. [PDF]
Sci Rep, 2023 Björlin Avdic H +9 more
europepmc +1 more source
Smiling under stochastic volatility
, 2002 Gonzalo Rubio and Ángel León acknowledge the financial support provided by Ministerio de Ciencia y Tecnología grants BEC2001-0636 and BEC2002-03797 respectively. Ángel León also acknowledges Generalitat Valenciana grant CTIDIA/2002/103.
Rubio Irigoyen, Gonzalo, León, Angel
openaire +1 more source
Caring for the institution: An ethnography of quality assurance policy in U.S. rural primary care
Medical Anthropology Quarterly, EarlyView.Abstract Based on mixed‐methods, ethnographic research in a geographically isolated rural medical center in the upper midwestern United States, this paper explores the social implications of healthcare quality assurance policies highly reliant on managerial logics, including measurement and monitoring programs.
Chloe L. Warpinski
wiley +1 more source
The magic of first impressions: Do facial displays on online platforms affect users' offline conversion rate? [PDF]
PLoS OneZhang X, Li Q, Han C, Huang X.
europepmc +1 more source
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process. [PDF]
Math Financ Econ, 2021 Bernis G +3 more
europepmc +1 more source
Time, place, person: Field epidemiology as a political practice
Medical Anthropology Quarterly, EarlyView.Abstract Five years after the end of the Ebola epidemic, a district in Sierra Leone received a measles alert. This article tells the story of the epidemic that followed and the response that was mounted in the context of the new global epidemic preparedness and biosecurity paradigms that govern the management of health emergencies.
Luisa Enria
wiley +1 more source
Tailored personas for anticipatory grief management among primary family caregivers of patients with advanced lung cancer in China: a qualitative study. [PDF]
Sci RepLiu X +8 more
europepmc +1 more source