Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Pengshi Li"'
Autor:
Pengshi Li, Jianhui Yang
Publikováno v:
Discrete Dynamics in Nature and Society, Vol 2017 (2017)
This paper studies collar options in a stochastic volatility economy. The underlying asset price is assumed to follow a continuous geometric Brownian motion with stochastic volatility driven by a mean-reverting process. The method of asymptotic analy
Externí odkaz:
https://doaj.org/article/414b7542aa28466db62a3b46fbbb0c6f
Publikováno v:
Economic Modelling. 96:326-335
The implied volatility for 50 ETF options in China shows a significant smile pattern across different moneyness. Call and put options on 50 ETFs transacted from February 2015 to December 2018 are obtained. Regression and vector autoregression analyse
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::da131d7c129db0a73d141fe428c70667
https://doi.org/10.1016/j.econmod.2020.04.013
https://doi.org/10.1016/j.econmod.2020.04.013
Publikováno v:
E+M Ekonomie a Management. 24:135-145
The aim of this study is to examine the volatility smile based on the European options on Shanghai stock exchange 50 ETF. The data gives evidence of the existence of a well-known U-shaped implied volatility smile for the SSE 50 ETF options market in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::61a82b4c4bc8ceb827475a7105293a4a
https://doi.org/10.15240/tul/001/2021-1-009
https://doi.org/10.15240/tul/001/2021-1-009
Publikováno v:
E+M Ekonomie a Management. 23:144-155
The collar option is one kind of exotic options which is useful when institutional investors wish to lock in the profit they already have on the underlying asset. Under the constant volatility assumption, the pricing problem of collar options can be
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f3245470dc1b591c325dd9cfb27bb37c
https://doi.org/10.15240/tul/001/2020-2-010
https://doi.org/10.15240/tul/001/2020-2-010
Autor:
Pengshi Li
Publikováno v:
E+M Ekonomie a Management. 22:134-144
Exotic options are called “customer tailored options” or “special purpose option” because they are flexible to be tailored to the specific needs of investors. Strategies based on exotic options are often employed to hedge the specific risk ex
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9f4f3cb9f537fd05a4776bf6e01292e8
https://doi.org/10.15240/tul/001/2019-4-009
https://doi.org/10.15240/tul/001/2019-4-009
Autor:
Jianhui Yang, Pengshi Li
Publikováno v:
Journal of Computational and Theoretical Nanoscience. 13:593-599
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dc47e0e71afdd8d4d3920161313b1ce1
https://doi.org/10.1166/jctn.2016.4846
https://doi.org/10.1166/jctn.2016.4846
Publikováno v:
E+M Economics & Management / E+M Ekonomie a Management; 2020, Vol. 23 Issue 2, p144-155, 12p