An Overreaction Implementation of the Coherent Market Hypothesis and Option Pricing
نویسندگان
چکیده
منابع مشابه
development and implementation of an optimized control strategy for induction machine in an electric vehicle
in the area of automotive engineering there is a tendency to more electrification of power train. in this work control of an induction machine for the application of electric vehicle is investigated. through the changing operating point of the machine, adapting the rotor magnetization current seems to be useful to increase the machines efficiency. in the literature there are many approaches wh...
15 صفحه اولHow Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing?
In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncerta...
متن کاملAn Invitation to Market-based Option Pricing and Its Applications
This article provides an overview of market-based option pricing and its applications. First, two fundamental approaches for market-based option pricing from the literature are introduced. Then, three important new processes, the deterministic volatility model, the stochastic volatility model, and a model including jump, are discussed. Finally, several empirical analyses on the NIKKEI225 option...
متن کاملOption Pricing with an Illiquid Underlying Asset Market∗
We examine how price impact in the underlying asset market affects the replication of a European contingent claim. We obtain a generalized Black-Scholes pricing PDE and establish the existence and uniqueness of a classical solution to this PDE. We show that unlike the case with transaction costs, replication in the presence of price impact is always cheaper than superreplication. This model imp...
متن کاملOption Pricing Formula for Fuzzy Financial Market
The option pricing problem is one of central contents in modern finance. In this paper, European option pricing formula is formulated for fuzzy financial market and some mathematical properties of them are discussed. This formula may be regarded as the fuzzy counterpart of Black-Scholes option pricing formula. In addition, some illustrative examples are also documented with MATLAB codes. c ©200...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.904357