Results 71 to 80 of about 237,321 (276)
A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability [PDF]
Brownian motion and normal distribution have been widely used, for example, in the Black-Scholes-Merton option pricing framework, to study the return of assets.
Steven Kou
core
Science Education, EarlyView.ABSTRACT Educating youth about environmental and climate justice is crucial in realizing a sustainable and flourishing future. Yet this can be challenging given the intense eco‐emotions youth experience and express while learning about these consequential realities and their implications.
Kelsie Fowler
wiley +1 more source
Price dynamics and volatility jumps in bitcoin options
Financial InnovationIn the FinTech era, we contribute to the literature by studying the pricing of Bitcoin options, which is timely and important given that both Nasdaq and the CME Group have started to launch a variety of Bitcoin derivatives.
Kuo Shing Chen, J. Jimmy Yang
doaj +1 more source
Maturity and volatility effects on smiles or dying smiling?
, 2000 The “smile effect” is a result of an empirical observation of the options’ implied volatility with the same expiration date, across different exercise prices. However, its shape has been under discussion seeming to be dependent on the option underlying security.
Duque, João, Lopes, Patrícia Teixeira
openaire +2 more sources
Ligand‐Mediated Nuclearity Tuning of Tin Oxo Clusters for Advanced Lithography
Small, EarlyView.A tailored design strategy for Sn‐based inorganic photoresists is demonstrated through precise ligand modulation to tune cluster nuclearity. Modulating the nuclearity dictates distinct exposure pathways and stochastic reaction volumes for each cluster system.
Seong‐Ji Ha +5 more
wiley +1 more source
Cross-currency smile calibration [PDF]
We document the numerical aspects of the calibration of cross-currency options on the local volatility framework. We consider the partial differential equation satisfied by the price of the cross-currency option and see that the most important ...
Gabriel Turinici, Marc Laillat
core
Symbolic Interaction, EarlyView.Erving Goffman cuts a divisive figure in disability studies. Some criticize his conception of “stigma” as deviance‐focused and as ignoring structural forces that shape personal encounters. Others praise his recognition of stigma as an interactional phenomenon.
Gareth M. Thomas
wiley +1 more source
Hedging with Stochastic and Local Volatility [PDF]
We derive the local volatility hedge ratios that are consistent with a stochastic instantaneous volatility and show that this ‘stochastic local volatility’ model is equivalent to the market model for implied volatilities.
Carol Alexander, Leonardo M. Nogueira
core
VIEW, EarlyView.Lymphoma is a group of blood cancers that can appear in lymph nodes, blood, bone marrow, spleen, liver, or the central nervous system, which makes drug delivery and disease monitoring difficult. This review summarizes how nanomedicine technologies may improve targeted treatment and imaging, while carefully separating approved or guideline‐supported ...
Mohd Ahmar Rauf +5 more
wiley +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