Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Alper Hekimoglu"'
Autor:
Bilgi Yilmaz, Alper Hekimoglu
Publikováno v:
Pressacademia.
Purpose- This study aims to illustrate the efficiency of pure jump processes, more specifically Variance Gamma (VG) and Normal Inverse Gaussian models (NIG), in option pricing by comparing with the Black Scholes (BS) option pricing model for emerging
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::60399a5d2422c982efb1c3f2b4ff5b80
https://doi.org/10.17261/pressacademia.2022.1644
https://doi.org/10.17261/pressacademia.2022.1644
Publikováno v:
Journal of Computational and Applied Mathematics. 399:113724
In this paper, a new approach, the Variance Gamma (VG) model, which is used to capture unexpected shocks (e.g., Covid-19) in housing markets, is proposed to contribute to the standard option-based mortgage valuation methods. Based on the VG model, th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::febdccaa4ca6627a8136247acce3cf6c
https://doi.org/10.1016/j.cam.2021.113724
https://doi.org/10.1016/j.cam.2021.113724
Publikováno v:
Journal of Banking and Financial Markets. 2(1):9-26
In the narrow sense, financial stability is defined as price stability and the soundness of financial institutions. Although this definition can be extended to cover the functioning of financial markets, asset price volatility, risk management practi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::816179ded5890d94eed5450457b748ff
http://www.bddk.org.tr/WebSitesi/turkce/Raporlar/BDDK_Dergi/5385Yayla.pdf
http://www.bddk.org.tr/WebSitesi/turkce/Raporlar/BDDK_Dergi/5385Yayla.pdf