Zobrazeno 1 - 10
of 2 550
pro vyhledávání: '"vanilla option"'
Autor:
Guterding, Daniel
Publikováno v:
Risks 11, 83 (2023)
We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates terminal density and option prices. Using a discretization of the terminal
Externí odkaz:
http://arxiv.org/abs/2205.10865
Autor:
Guterding, Daniel1 (AUTHOR) daniel.guterding@th-brandenburg.de
Publikováno v:
Risks. May2023, Vol. 11 Issue 5, p83. 24p.
Autor:
Daniel Guterding
Publikováno v:
Risks, Vol 11, Iss 5, p 83 (2023)
We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates terminal density and option prices. Using a discretization of the terminal
Externí odkaz:
https://doaj.org/article/1f7b9ce28b3a4ab2a1498c0581835b03
Publikováno v:
Journal of Management (0255-9838). 2017, Vol. 34 Issue 2, p231-255. 25p.
Option contracts can be valued by using the Black-Scholes equation, a partial differential equation with initial conditions. An exact solution for European style options is known. The computation time and the error need to be minimized simultaneously
Externí odkaz:
http://arxiv.org/abs/1311.0438
Autor:
Montero, Miquel
Publikováno v:
J. Stat. Mech., P07016 (2009)
Perpetual American options are financial instruments that can be readily exercised and do not mature. In this paper we study in detail the problem of pricing this kind of derivatives, for the most popular flavour, within a framework in which some of
Externí odkaz:
http://arxiv.org/abs/0812.0556
Akademický článek
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Akademický článek
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Autor:
John Wystup
Publikováno v:
Wilmott. 2022
More volatility would cause less volatility risk, which may feel counter-intuitive at first glance. Uwe Wystup gets negative in the most positive way
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8527f814491e97c8d69d5a06be2488b3
https://doi.org/10.54946/wilm.10997
https://doi.org/10.54946/wilm.10997
Autor:
Donny Citra Lesmana, David Vijanarco Martal, Unika Nabila, Syifa Fauzia, Raymond Raymond, Zidni Kamal Hasan, M Ridwan Aprizky
Publikováno v:
Jurnal Akuntansi dan Keuangan, Vol 26, Iss 1 (2024)
The financial market often experiences unexpected fluctuations that can impact stock values. Therefore, investors require hedging strategies to protect their investment values from unwanted price fluctuations. This study compares the hedging results
Externí odkaz:
https://doaj.org/article/fd16b036232e4558946db8bdb93bf9b0