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pro vyhledávání: '"Alvaro Cartea"'
Autor:
Alvaro Cartea, Thilo Meyer-Brandis
We propose a model for stock price dynamics that explicitly incorporates random waiting times between trades, also known as duration, and show how option prices can be calculated using this model. We use ultra-high-frequency data for blue-chip compan
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::f560822eb3582e8ff51bf0933f0a6ae5
http://www.bbk.ac.uk/ems/research/wp/PDF/BWPEF0721.pdf
http://www.bbk.ac.uk/ems/research/wp/PDF/BWPEF0721.pdf
The understanding of joint asset return distributions is an important ingredient for managing risks of portfolios. While this is a well-discussed issue in fixed income and equity markets, it is a challenge for energy commodities. In this paper we are
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::68b8ad62d866cc03c333ca668238a957
http://www.bbk.ac.uk/ems/research/wp/PDF/BWPEF0709.pdf
http://www.bbk.ac.uk/ems/research/wp/PDF/BWPEF0709.pdf
Autor:
Alvaro Cartea, Sam Howison
In this paper we show how to calculate European-style option prices when the log-stock and stock returns processes follow a symmetric Levy-Stable process. We extend our results to price European-style options when the log-stock process follows a skew
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::699dd80b649004de09a6e21b8738e302
http://www.finance.ox.ac.uk/file_links/finecon_papers/2004mf01.pdf
http://www.finance.ox.ac.uk/file_links/finecon_papers/2004mf01.pdf
Autor:
Alvaro Cartea, Sam Howison
In this paper we derive analytic expressions for the value of European Put and Call options when the stock process follows an exponential Levy-Stable process. It is shown that the generalised Black-Scholes operator for the Levy-Stable case can be obt
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::fa43a001cf9b2c0b43a9cb434da20213
http://www.finance.ox.ac.uk/file_links/finecon_papers/2002mf04.pdf
http://www.finance.ox.ac.uk/file_links/finecon_papers/2002mf04.pdf