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Exact barrier option valuation with deterministic volatility
(Sociedade Brasileira de Matematica Aplicada e Computacional - SBMACSão Carlos, 2015)
Focus, in the past four decades, has been obtaining closed-form expressions for the noarbitrage
prices and hedges of modified versions of the European options, allowing the dynamic of the
underlying assets to have ...
European Call option pricing by the Adomian decomposition method
(Universidad EAFIT, 2011)
An option is a security that gives its owner the right to trade in a fixed number of shares of a specified common stock at a fixed price at any time on or before a given date. The act of making this transaction is referred ...
Options can induce risk taking for arbitrary preferences
(Springer, 2006-04)
It is widely believed that call options induce risk-taking behavior. However, Ross (2004) challenges this intuition by demonstrating the impossibility of inducing managers with arbitrary preferences to always act as if ...
The valuation of multidimensional American real options using the LSM simulation method
(PERGAMON-ELSEVIER SCIENCE LTD, 2008)
In this paper we show how a multidimensional American real option may be solved using the LSM simulation method originally proposed by Longstaff and Schwartz [2001, The Review of the Financial Studies 14(1): 113-147] for ...
Pricing arithmetic Asian options under the CEV process
(Universidad ESAN. ESAN EdicionesPE, 2010-12-30)
This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to ...
Pricing arithmetic Asian options under the CEV process
(Universidad ESAN. ESAN EdicionesPE, 2010-12-30)
This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to ...
Understanding equity option prices
(2012-12)
Trabalho apresentado por Kris Jacobs - University of Houston no contexto do evento "Asset Pricing and Portfolio Allocation in the Long Run". Mais informações em: http://epge.fgv.br/conferencias/longrun/index.php
A Bayesian nonparametric approach to option pricing
(Lociedade Brasileira de Finanças, 2020)
Propuesta metodológica para la valoración de opciones sobre tasa de cambio USD-COP
(Facultad de Finanzas, Gobierno y Relaciones Internacionales, 2017-11-09)
Se presenta una propuesta metodológica para resolver el problema de la valoración de opciones sobre tipo de cambio en el mercado colombiano. Se realiza una breve revisión de las características del mercado de tasa de cambio ...