The implied volatility derived from inverting the Black-Scholes equation to solve for the price of an option is not an unconditional forecast of future volatility (unless volatility is deterministic). It is only a forecast of the square root of the average variance of a biased set of sample paths for the underlying security –those paths that will affect the dynamic hedging of the option. Most r...

Though an analytical solution for the value of a European option in the context of the Black-Scholes model is more than 30 years old, a corresponding solution for American options has troubled practitioners and academics alike. In 2006, an analytical solution was presented for puts, however, this solution is computationally complex, requiring symbolic algebra packages, that make it impractical ...

the condition within the contract is a principle that has been recognized in the islamic law but there is disagreement among the authorities concerning its impact on the condition of the contract in the two stages of formation and continuation of the contract. in the formation stage, the difference is in terms of the relation between the condition and the subject, concerning which, from among t...

Options or “privileges” as they were known in early 19th Century America actually appeared on the financial scene around the same times as stocks. Initially, there were numerous problems with the trading of options. The terms of the contract were different from contract to contract, contracts had to be exercised in person, and there really was no secondary market to trade. Options were eventual...

the revenue management concept and techniques are applied to model the coordination of supply chain elements. the fundamental premise of this approach is synchronization of a group of business entities consist-ing of a manufacturer and multiple suppliers to achieve an optimal supply chain capacity plans. the output of the supply chain can be various products and thus it is measured in terms of ...

In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.

option contracts are one of the most important financial instruments which have been recently considered as a vehicle for management of risks and development of capital market. in iran, the importance of option contracts is increasingly recognized in the capital market. in this article the legal aspects of option contracts will be examined. for this purpose the views of islamic jurists and lawy...

H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence struc...

The study in the article aims to improve methodology for calculating price of an option agreement . subject is a real with right sell / purchase hypothesis that using more objective calculation formula will increase efficiency making corporation’s strategic investment and management decisions method mathematical modelling used refine within framework ways options discounting cash flows justifie...