منابع مشابه
Insights from the What Drives Diesel Fuel Prices?
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In this paper, I develop an option-pricing model that formally incorporates a disclosure event. The model suggests that an understanding of a firm’s disclosure policies can aid in effi ciently pricing its options. The reason is that these policies impact the distributions of jumps in the firm’s equity price, which affect the expected payoff to the firm’s options. Specifically, I find that 1) mo...
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In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...
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We propose the use of a classical tool in PDE theory, the parametrix method, to build approximate solutions to generic parabolic models for pricing and hedging contingent claims. We obtain an expansion for the price of an option using as starting point the classical Black&Scholes formula. The approximation can be truncated to any number of terms and easily computable error measures are available.
متن کاملThe Impact of Liquidity on Option Prices
This article illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei (2009), a clear link remains between option prices and liquidity; with a reduction (increase) in spot (option) liquidity, there is a correspo...
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ژورنال
عنوان ژورنال: The Journal of Trading
سال: 2012
ISSN: 1559-3967,2168-8427
DOI: 10.3905/jot.2012.7.3.012