We derive a full asymptotic expansion for call option prices and a third order approximation for implied volatility in the large-time, large log-moneyness regime for a general exponential Lévy model, by extending the saddlepoint argument used in Forde et al. (2010) [Proc. R. Soc. A, 466(2124), 3593-3620] for the Heston model. As for the Heston model, there are two special log-moneyness values w...

background: call center sector in india is a relatively new and fast growing industry driving employment and growth in modern india today. most international call centers in national capital region (ncr) of delhi operate at odd work hours corresponding to a time suitable for their international customers. the sleep quality of call handlers employed in these call centers is in jeopardy owing to ...

The group of continuous equivalence transforms for Guéant — Pu models the price indifference a call option in absence permanent market impact was obtained by L. V. Ovsyannikov's methods. It used search Lie equation with linear free element.

Investment theory is founded on the premise that higher returns are generally associated with greater risk, and that portfolio diversification reduces risk. Here I examine parental investment decisions in birds from this perspective, using data from a model system, a 16-year study of breeding red-winged blackbirds Agelaius phoeniceus. Like many altricial birds, blackbirds structure their brood ...

This work is devoted to the discrete time hedging of the American option on a dividendpaying stock with a convex payoff, the particular case of which is American call option. Perfect hedging requires continuous trading in time and knowledge of the partial derivative of the value function of the American option in the underlying asset. Neither one can trade continuously in time nor the closed-fo...

To have a real option means to have the possibility for a certain period to either choose for or against making an invetsment decision, without binding oneself up front. The real option rule is that one should invest today only if the net present value is high enough to compensate for giving up the value of the option to wait. Because the option to invest loses its value when the investment is ...

This paper examines KOSPI200 index option prices in order to investigate whether index option implied volatilities foreshadowed the 1997 economic crisis in Korea. Results indicate the absence of strong fears of an impending market downturn prior to the crisis. Put option implied volatilities rose sharply as the crisis intensified, however, and the difference between put and call implied volatil...

Brownian motion and normal distribution have been widely used in the Black–Scholes option-pricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and two (asymmetric) heavier tails than those of the normal distribution, and an empirical phenomenon called...