Econometric specification of the risk neutral valuation model

Risk-neutral Valuation and State Space Framework

The main parameter required in pricing of derivative securities is the volatility of the underlying security. This may typically be estimated from historical prices or as implied volatility from derivative prices. It is however not clear how to estimate the volatility of the underlying securities over a given sample period, say six months. In this paper we propose an estimation technique in sta...

the use of appropriate madm model for ranking the vendors of mci equipments using fuzzy approach

abstract nowadays, the science of decision making has been paid to more attention due to the complexity of the problems of suppliers selection. as known, one of the efficient tools in economic and human resources development is the extension of communication networks in developing countries. so, the proper selection of suppliers of tc equipments is of concern very much. in this study, a ...

Listen to Your Data: Econometric Model Specification through Sonification

the effect of using model essays on the develpment of writing proficiency of iranina pre-intermediate efl learners

abstract the present study was conducted to investigate the effect of using model essays on the development of writing proficiency of iranian pre-intermediate efl learners. to fulfill the purpose of the study, 55 pre- intermediate learners of parsa language institute were chosen by means of administering proficiency test. based on the results of the pretest, two matched groups, one as the expe...

Risk-Neutral Models for Emission Allowance Prices and Option Valuation

T existence of mandatory emission trading schemes in Europe and the United States, and the increased liquidity of trading on futures contracts on CO2 emissions allowances, led naturally to the next step in the development of these markets: These futures contracts are now used as underliers for a vibrant derivative market. In this paper, we give a rigorous analysis of a simple risk-neutral reduc...