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of 48 169
pro vyhledávání: '"CALL options"'
Quanto options allow the buyer to exchange the foreign currency payoff into the domestic currency at a fixed exchange rate. We investigate quanto options with multiple underlying assets valued in different foreign currencies each with a different str
Externí odkaz:
http://arxiv.org/abs/2411.16617
Autor:
Unnikrishnan, Ananya
An accurate valuation of American call options is critical in most financial decision making environments. However, traditional models like the Barone-Adesi Whaley (B-AW) and Binomial Option Pricing (BOP) methods fall short in handling the complexiti
Externí odkaz:
http://arxiv.org/abs/2409.19706
Autor:
J. O. Ataguba, J. C. Onyejiaka
Publikováno v:
Journal of Applied Sciences and Environmental Management, Vol 28, Iss 11B Supplementary (2024)
The existing closed-form models for the valuation of call options in solid mineral land use/development; (including the Samuelson-McKean model) often feature deterministic inputs and outputs that inadequately account for the dynamics of risk and unce
Externí odkaz:
https://doaj.org/article/2919338b65404a509ab0c77450070707
Autor:
ATAGUBA, J. O., ONYEJIAKA, J. C.
Publikováno v:
Journal of Applied Sciences & Environmental Management; 2024 Supplement, Vol. 28, p3787-3798, 12p
In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian call options with fixed strike price. The asset price is assumed to follow the Bachelier model with a general stochastic volatilit
Externí odkaz:
http://arxiv.org/abs/2308.15341
Liquidations in Decentralized Finance (DeFi) are both a blessing and a curse -- whereas liquidations prevent lenders from capital loss, they simultaneously lead to liquidation spirals and system-wide failures. Since most lending and borrowing protoco
Externí odkaz:
http://arxiv.org/abs/2303.15162
Akademický článek
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Publikováno v:
The Annals of Applied Probability, 2003 Aug 01. 13(3), 953-983.
Externí odkaz:
https://www.jstor.org/stable/1193232
Autor:
Chen, Robert, Zhao, Xinlei
Publikováno v:
Financial Management, 2005 Jul 01. 34(2), 153-172.
Externí odkaz:
https://www.jstor.org/stable/3666354
Autor:
Dunn, Kenneth B., Spatt, Chester S.
Publikováno v:
The Journal of Finance, 1999 Dec 01. 54(6), 2317-2337.
Externí odkaz:
https://www.jstor.org/stable/797996