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18 results with keyword: 'option pricing model with stochastic exercise price'

Option Pricing Model with Stochastic Exercise Price

By changing basic assumption of William Margrabe exchange option pricing model to the assumption that jump process is count process that more general than Poisson process.. It

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2021
2014 Facts. of the Property & Casualty Insurance Industry

In 2012, Canadian private P&C insurers paid out $14.7 billion in net claims incurred to policyholders for all types of auto insurance coverage: third-party liability,

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2021
LC Paper No. CB(1)1866/08-09(03) For discussion on 16 June Legislative Council Panel on Commerce and Industry

Since the signing of the agreement, both sides have taken forward a number of collaboration initiatives, including setting up a new joint funding scheme for applied R&D

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2021
New Improvements in Optimal Rectangle Packing

It first works on the x -coordinates in a model where variables are rectangles and values are x -coordinate lo- cations, using dynamic variable ordering by area and a constraint

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2021
Understanding Volatility

theoretical value theoretical value pricing model exercise price time to expiration underlying price interest rate volatility (dividends) pricing model exercise price time to

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Option Pricing with Stochastic Volatility

The study permits to obtain closed form solution for option pricing with stochastic volatility by assuming nor- mal distribution obtained by the properties of the bivariate

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2020
HR and Analytics: Why HR is set to fail the big data challenge

‘The romance of human resource management and business performance, and the case for

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2019
Entry inhibition of HSV 1 and  2 protects mice from viral lethal challenge

In the present study, an anti-HSV Hu-mAb ( mAb#33 ) was isolated and its different formats ( Fab#33, scFv#33, IgG#33 ) were tested for their ability to inhibit virus infection

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2020
The cattle population in December 1988  1989 7

The effects of further reductions in milk production decided in December 1986 and covering the years 1987/88 and 1988/89 are tangible: the number of dairy cows fell once again

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2020
The cattle population in December 1988  1989 7

The effects of further reductions in milk production decided in December 1986 and covering the years 1987/88 and 1988/89 are tangible: the number of dairy cows fell once again

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2020
PRICING EXOTIC OPTION UNDER STOCHASTIC VOLATILITY MODEL

Analytic approximation formulae for these two exotic options in fast mean-reverting stochastic volatility model are derived according to the method of asymptotic expansion which

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2020
Essays on Portfolio Optimization, Simulation and Option Pricing

Option prices were simulated based on three incomplete option price models: stochastic volatility model, jump diffusion model, and stochastic volatility with concurrent jumps in

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2020
A Stochastic Volatility Model With Realized Measures for Option Pricing

The comparison between models in the SV class are reported in the on-line Appendix. SV-LHARG consistently shows the best option pricing performance among the models and, for

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2021
Market data Reference data High frequency trading High performance computing Trading infrastructure

Prime Brokerage Services, Market Data Services, Market Data Operations, Reference Data Strategy, Reference Data Quality & Operations, Client Data Services, Data

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2021
Stochastic Volatility Jump Diffusion Model for Option Pricing

An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion model with square root stochastic volatility.. The stochastic volatility

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2020
An IFRS 2 and FASB 123 (R) Compatible Model for the Valuation of Employee Stock Options

Generally, the standards con- cluded that the following factors should be considered by applying an employee stock option pricing model: exercise price of the option (X),

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2021
Third-Party Solar Model

• Concentrating Solar Power Commercial Application Study: Reducing Water Consumption of Concentrating Solar. Power Electricity Generation Report to

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2021
European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates

We present a European option pricing when the underlying asset price dynamics is governed by a linear combination of the time-change Lévy process and a stochastic interest rate

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2020

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