نتایج جستجو برای: put option

تعداد نتایج: 142908  

1999
C. Mitchell Conover David R. Peterson

This study investigates the lead-lag relationship between the option and stock markets for 17 trading-days prior to substantial earnings surprises, using the Berkeley options data base, changes in put-call parity, and a control option methodology. Before the passage of the Insider Trading Sanctions Act (ITSA) in 1984, the options market leads the stock market prior to negative surprises but tha...

2010
Kevin Lane Keller

Today's multichannel, multimedia retail marketing environment presents a number of brand management challenges. From a micro perspective, marketers must manage each individual channel and communication option to maximize their direct sales and brand equity effects, as well as any indirect brand equity effects from being associated with a particular channel or communication option. From a macro ...

Journal: :Finance and Stochastics 2006
Alet Roux Tomasz Zastawniak

In the paper by Melnikov and Petrachenko ‘On option pricing in binomial market with transaction costs,’ Finance Stoch. 9 (2005), 141–149, a procedure is put forward for pricing and replicating an arbitrary European contingent claim in the binomial model with bid-ask spreads. We present a counter-example to show that the option pricing formula stated in that paper can in fact lead to arbitrage. ...

Journal: :CoRR 2015
Stefan Haring Ronald Hochreiter

In this paper an improved Cuckoo Search Algorithm is developed to allow for an efficient and robust calibration of the Heston option pricing model for American options. Calibration of stochastic volatility models like the Heston is significantly harder than classical option pricing models as more parameters have to be estimated. The difficult task of calibrating one of these models to American ...

Journal: :АНАЛИ ПОСЛОВНЕ ЕКОНОМИЈЕ 2019

2005
J. A. ADDISON S. D. HOWISON

We discuss the use of the WKB ansatz in a variety of parabolic problems involving a small parameter. We analyse the Stefan problem for small latent heat, the Black–Scholes problem for an American put option, and some nonlinear diffusion equations, in each case constructing an asymptotic solution by the use of ray methods.

2008
ERHAN BAYRAKTAR

We prove that the perpetual American put option price of level dependent volatility model with compound Poisson jumps is convex and is the classical solution of its associated quasi-variational inequality, that it is C except at the stopping boundary and that it is C everywhere (i.e. the smooth pasting condition always holds).

2015
Lingjiong Zhu Emiliano A. Valdez

In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black–Scholes models. We analyze European, Asian, American, Parisian and perpetual options and conclude that the tail asymptotics for these option types fall into four scenarios.

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