Results 71 to 80 of about 15,273 (231)
Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility [PDF]
Starting from the European option valuation framework of Chauveau & Gatfaoui (2002), we establish the link with stochastic volatility models. And, we propose both a new vision and a general framework for valuing European options in the light of ...
Chauveau Thierry, Gatfaoui Hayette
core
Real-world options: smile and residual risk [PDF]
, 1995 We present a theory of option pricing and hedging, designed to address non-perfect arbitrage, market friction and the presence of `fat' tails. An implied volatility `smile' is predicted.
Bouchaud, Jean-Philippe +2 more
core +2 more sources
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
British Journal of Educational Psychology, EarlyView.Abstract Background Learning English as a second language (L2) is crucial in a globalized world. However, longitudinal evidence on how young learners' achievement emotions and perceived teacher–child relationship quality jointly shape L2 outcomes remains limited.
Fabiola Silletti +6 more
wiley +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
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Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities. [PDF]
Rev Deriv Res (Dordr), 2022 Muck M.
europepmc +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
We explain the valuation and correlation hedging of Foreign Exchange Basket Options in a multi-dimensional Black-Scholes model that allows including the smile.
Hakala, Jürgen, Wystup, Uwe
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Modelling FX smile : from stochastic volatility to skewness [PDF]
, 2007 Imperial Users ...
Luo , Lin, Luo , Lin
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Developmental Medicine &Child Neurology, EarlyView.A mixed methods approach was used to describe the experiences of parents whose infants received telehealth and face‐to‐face Alberta Infant Motor Scale (AIMS) assessments. Although telehealth delivery of the AIMS was reportedly acceptable to Australian parents, around half of participants preferred face‐to‐face assessment.
Kate L Rawnsley +3 more
wiley +1 more source