Zobrazeno 1 - 10
of 3 815
pro vyhledávání: '"risk neutral"'
Publikováno v:
Commodities, Vol 3, Iss 2, Pp 225-247 (2024)
In this study, we investigate the ability of three higher-order risk-neutral return cumulants to predict short maturity (weekly) returns of oil futures. Our data includes weekly West Texas Crude Oil futures options that expire in 7 days (7DTE). Using
Externí odkaz:
https://doaj.org/article/17a770a53cc149418c85ac41903327bb
Autor:
Han, Qi ⁎, Song, Xuan
Publikováno v:
In Physica A: Statistical Mechanics and its Applications 15 January 2025 658
Autor:
Sukono a, b, ⁎, Ghazali, Puspa Liza Binti b, Ibrahim, Riza Andrian c, Riaman a, Mamat, Mustafa d, Sambas, Aceng d, Hidyat, Yuyun e
Publikováno v:
In International Journal of Disaster Risk Reduction January 2025 116
Autor:
Liu, Haibo a, ⁎, Tang, Qihe b
Publikováno v:
In Journal of Banking and Finance January 2025 170
Publikováno v:
In Heliyon 15 October 2024 10(19)
Autor:
Javed Hussain, Nisar Ali
Publikováno v:
Ural Mathematical Journal, Vol 10, Iss 1 (2024)
This paper deals with the problem of Black-Scholes pricing for the Quanto option pricing with power type powered and powered payoff underlying foreign currency is driven by Brownian motion and Poisson jumps, via risk-neutral probability measure. Our
Externí odkaz:
https://doaj.org/article/b6f65e5b1a8940a1ae825f95911bc9db
Autor:
Luis Ángel Meneses Cerón, Jaime Andrés Carabalí Mosquera, Jorge Eduardo Frías Navarrete, Zoraida Ramírez Gutiérrez, Jefferson Muñoz Vargas
Publikováno v:
Heliyon, Vol 10, Iss 10, Pp e31214- (2024)
Purpose: Increased life expectancy in recent years, together with the downward trend in fertility rates, will accelerate the aging of the Latin American population (Flamini and et al., 2018) [1]. This demographic change represents a problem for pensi
Externí odkaz:
https://doaj.org/article/a589c90022e74ab6a6b2a2a7418fe167
Autor:
Ayan Bhattacharya
Publikováno v:
AppliedMath, Vol 4, Iss 1, Pp 79-88 (2024)
It is common in financial markets for market makers to offer prices on derivative instruments even though they are uncertain about the underlying asset’s value. This paper studies the mathematical problem that arises as a result. Derivatives are pr
Externí odkaz:
https://doaj.org/article/f0db1e03479a45d7a3992fca7373c023
Autor:
Carrasco, Marine, Tsafack, Idriss
Publikováno v:
Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications
Autor:
Benavides Franco, Julian, Alonso Cifuentes, Julio César, Carabalí Mosquera, Jaime Andrés, Sosa, Anibal
Publikováno v:
International Journal of Housing Markets and Analysis, 2021, Vol. 15, Issue 5, pp. 1195-1224.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/IJHMA-05-2021-0063