Results 71 to 80 of about 592,058 (280)
Distributions Implied by Exchange Traded Options: A Ghost’s Smile? [PDF]
A new and easily applicable method for estimating risk neutral distributions (RND) implied by American futures options is proposed. It amounts to inverting the Barone-Adesi and Whaley method (1987) (BAW method) to get the BAW-implied volatility smile ...
Martin Cincibuch
core
Modelling FX smile : from stochastic volatility to skewness [PDF]
, 2007 Imperial Users ...
Luo , Lin, Luo , Lin
core
Practising Politics in a Disorderly Democracy
Australian Journal of Politics &History, EarlyView.Taking as its starting point Ron May's scholarship on Papua New Guinea as a “disorderly democracy,” this article examines how politics is practised in the PNG Parliament. Using a case study of the events of late 2020, when a vote of no confidence against the Marape government was mooted but eventually failed to materialise, it adopts a practice theory ...
Kerryn Baker
wiley +1 more source
Analysis of parametric and non-parametric option pricing models. [PDF]
Heliyon, 2022 Luo Q, Jia Z, Li H, Wu Y.
europepmc +1 more source
EMPIRICAL STUDY ON THE PERFORMANCES OF BLACK-SCHOLES MODEL FOR EVALUATING EUROPEAN OPTIONS [PDF]
In this study we aim at analyzing the way the model Black-Scholes works in practice. The data used for analysis refer to European-type call options having as supportassets the CAC-40 money-market index. Our approach will be structured in two parts.
Armeanu, Dan, Vasile, Emilia
core
Antipode, EarlyView.Abstract Following the lead of labour movements, this article frames slums as labour geographies whose evictions constitute the devaluation of labour in spatial terms. This devaluation occurs in two modes: in the first, through the rendering of workers as “encroachers” or “the urban poor” in policy documents and public discourse, thereby unmooring ...
Priti Narayan
wiley +1 more source
Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach [PDF]
In this paper we estimated a volatility model for COP/US under two different samples, one containing the information before the “discretional interventions” started, and the other using the whole sample.
Héctor Manuel Zárate +2 more
core
Children &Society, EarlyView.ABSTRACT The current study explores conversations fathers and nurses at Swedish Child Health Centres. Video‐ethnographic methods allow for the analysis of naturally occurring interaction and the analysis focuses on how the participants address fathers' accounts of inadequacy and being secondary to the mother in terms of being able to provide care and ...
Henning Årman +3 more
wiley +1 more source
Interest rate convexity and the volatility smile [PDF]
When pricing the convexity effect in irregular interest rate derivatives such as, e.g., Libor-in-arrears or CMS, one often ignores the volatility smile, which is quite pronounced in the interest rate options market.
Boenkost, Wolfram, Schmidt, Wolfgang M.
core
Learning Agents in Black-Scholes Financial Markets: Consensus Dynamics\n and Volatility Smiles [PDF]
, 2017 Tushar Vaidya +2 more
openalex +1 more source