put options
Use of put options as insurance
... of put options and show that full insurance is still optimal, but the number of put options required to achieve this is larger than the ...
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Integral Representations for the Price of Vanilla Put Options on a Basket of Two Dividend Paying Stocks
... Panini and Srivastav [3] considered option pricing with Mellin transforms. They derived the integral equation representations for the price of European and American basket put options with non-dividend ...
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Optimal Use of Put Options in a Stock Portfolio
... a put option on the stock. What quantity of put options should he buy? Although this question receives brief attention from Philip Jorion in terms of the minimum variance hedge ratio (2007, ...
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On the optimal use of put options under trade restrictions
... buys put options on the same ...ATM options. Ahn et al. allow the agent to buy any quantity of options with any strike price at a cost given by the Black-Scholes model, which is problematic ...
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Evaluation of Cotton Put Options as a Price Risk Management Tool
... and options contracts, but producers are faced with a limited amount of time to analyze factors necessary to determine the optimal time and strike price to purchase cotton put options to protect ...
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Valuing European Put Options under Skewness and Increasing [Excess] Kurtosis
... Johnson put values are bunched close to the peak of a density function that does not exhibit much volatility, and may or may not have thick ...futures put options; this is the case of Johnson’s ...
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Pricing and Trading American Put Options under Sub-Optimal Exercise Policies
... In this section we extend our model set up to consider the effect of discrete divi- dends in the underlying on the pricing of American put options. In the real world, where dividend payments are likely to ...
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Coarse thinking, implied volatility, and the valuation of call and put options
... financial options is as follows: Instead of buying the underlying outright, some investors prefer to buy in-the-money calls as in-the-money call options are similar to the underlying and require only a ...
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The Valuation of Currency Put Options
... and options are sold, permits any increase in volatility from the stock to be neutralized by the option, and vice ...An options-only strategy would not be able to mitigate the high volatility of put ...
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The variance minimizing hedge with put options
... to put options. This may be because put options are a special case of exotic derivatives: the optimal exotic derivative must be at least as good as the optimal put ...contrast, ...
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On the optimal exercise boundaries of swing put options
... American put is perhaps the most well-studied (and most popular) of such examples, and properties of its optimal boundary have been the object of a long list of papers ...
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A Study on Options Pricing Using GARCH and Black-Scholes-Merton Model
... of options: call options and put ...a put option conveys the right to sell the underlying asset at a specific ...or put), the quantity and class of the underlying asset, the ...
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Properties of time averages in a risk management simulation
... This short paper demonstrates the use of the time average for risk management in a simulation setting. In a large sample setting, I show that the ensemble average decreases linearly with the quantity of put ...
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Hedging Against a Price Drop Using the Inverse Vertical Ratio Put Spread Strategy Formed by Barrier Options
... knock-in put options with a lower strike price X 1 , premium p 1BDI 0 per option, barrier level D and at the same time by selling a smaller number n 2 of up and knock-in put options with a ...
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Analytical approximation of the transition density in a local volatility model
... direct integration of the payoff functions of Call and Put options, convoluted with the “Bessel” density in (4.40) (second column), with the 4-th order Log- approximated density (third column), with the ...
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A numerical study of radial basis function based methods for option pricing under one dimension jump diffusion model
... and put options have such a ...price options at a very short time to matu- ...American options under a Brownian ...European options but not American ...American options under the ...
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Weather Risk Management in Agriculture
... using put option and Long Straddle strategy for hedging of risks connected with temperature are ...call options, viceversa, for extremely hot winter he could buy HDD put ...agricultural ...
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Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration
... European options on futures prices/rates have been deduced and have been used to study the prices of European call and put options on the Eurodollar futures price and on the USA five year interest ...
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The Project Valuation with Abandonment and Reset Investment Proportion Applying Real Option Method
... reset put options and barrier options respectively, merchandise bound up with those are very famous in the financial market as hedging or speculating ...reset options and barrier ...
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Asian options with jumps: A closed form formula
... and put options written on the arithmetic average of security prices driven by jump diffu- sion processes displaying (possibly pe- riodical) trend, time varying volatility, and mean ...case put ...
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