Results 61 to 70 of about 237,321 (276)
Why do we smile? On the determinants of the implied volatility function. [PDF]
We report simple regressions and Granger causality tests in order to understand the pattern of implied volatilities across exercise prices. We employ all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX-35 index from January 1994 to ...
Rubio, Gonzalo +2 more
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Journal of Organizational Behavior, EarlyView.ABSTRACT Bystander intervention is widely assumed to foster workplace inclusion, yet no studies have directly examined this relationship. Through abductive qualitative analysis of 53 interviews across two contrasting organisations—a consulting firm and a remote mine site—we investigate how bystander intervention relates to workplace inclusion for ...
Laura Jennings +4 more
wiley +1 more source
Arbitrage-Free Smoothing of the Implied Volatility Surface [PDF]
The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition ...
Matthias R. Fengler
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Use of predictive tools for the analysis of bioactive compounds in Crocus sativus L. flowers
Journal of the Science of Food and Agriculture, EarlyView.Abstract BACKGROUND Crocus sativus L. (saffron) flowers have high bioactive potential because of their content of crocins, safranal and phenolic compounds. The development of predictive models based on near‐infrared (NIR) spectroscopy and partial least squares regression to estimate the antioxidant capacity of saffron flower, evaluated using oxygen ...
Manuel Piqueras‐García +4 more
wiley +1 more source
Feeling Vulnerable With My AI Companion: Examining Well‐Being in Human‐AI Relationships
Psychology &Marketing, EarlyView.ABSTRACT Individuals resort to human‐AI relationships to fulfill psychological, social, and empathetic needs. Nevertheless, dilemmas arise from these interdependent relationships which, although destined to enhance users' well‐being, can also be detrimental to them.
Liliane Abboud +2 more
wiley +1 more source
Materials Genome Engineering Advances, EarlyView.A sequence‐sensitive multi‐fidelity hybrid modeling framework combined with a teacher‐student genetic algorithm enables the inverse design of copolyamides. The hybrid model balances prediction accuracy, sequence‑sensitivity, and computational cost. A two‑tier genetic algorithm can efficiently identify the monomer structures and ratios of copolyamides ...
Sheng Chen +8 more
wiley +1 more source
On cross-currency models with stochastic volatility and correlated interest rates [PDF]
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We frst deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates ...
Grzelak, Lech, Oosterlee, Kees
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Phytotherapy Research, EarlyView.Graphical representation of ethnomedical uses, major bioactive compounds, pharmacological potential and toxicological risks of Ruta graveolens L. ABSTRACT Ruta graveolens L. is widely used in traditional European, Asian, African, and South American medicine for digestive, nervous, cardiovascular, respiratory, and reproductive disorders.
Tetiana Serhiienko +3 more
wiley +1 more source
Volatility Smile Interpolation Model
, 2022 Options priced by the Black-Scholes formula are quoted on the market by implied volatility. In other words, to price an interest rate European option, one needs to know forward rate, the strike level and volatility along with the discount rate. However, the market trading history has shown that it is not perfect to trade options solely based on the ...
openaire +3 more sources