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[PDF] Top 20 The relationship between conditional value at risk and option prices with a closed-form solution

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The relationship between conditional value at risk and option prices with a closed-form solution

The relationship between conditional value at risk and option prices with a closed-form solution

... (conditional value at risk) are significant areas of research in their own right, moreover, both are important to risk management and understanding of ...and closed-form analytic ... See full document

36

Closed Form Approximations for Spread Option Prices and Greeks

Closed Form Approximations for Spread Option Prices and Greeks

... the risk- neutral conditional moneyness A(y), and the conditional exercise probability N (A(y)) is ...the conditional moneyness function A(y) is concave in ... See full document

40

Minimizing Conditional Value at Risk under Constraint on Expected Value

Minimizing Conditional Value at Risk under Constraint on Expected Value

... portfolio value is ...the form of a binary ...portfolio value is allowed to be unbounded from above but restricted to be bounded from below since this is crucial in excluding arbitrage opportunities ... See full document

35

A closed form solution to the risk taking motivation of subordinated debtholders

A closed form solution to the risk taking motivation of subordinated debtholders

... excessive risk due to subdebtholders’ lack of motivation to monitor banks’ asset ...the risk preferences of subdebtholders become more like those of ...The risk preferences of the junior debt holders ... See full document

14

Closed Form Solution for Heston PDE By Geometrical Transformations

Closed Form Solution for Heston PDE By Geometrical Transformations

... European option prices and market traded options prices, the smile curve, can be accounted for by stochastic volatility ...market prices is called the implied ...market prices of ... See full document

15

Pricing European Put Option in a Geometric Brownian Motion Stochastic Volatility Model

Pricing European Put Option in a Geometric Brownian Motion Stochastic Volatility Model

... put option numerically, due to the unattainable closed form solution of the ...that Option value in a GBM stochastic volatility model is an increasing function of volatility ... See full document

7

Re examining the Effects of Switching Costs

Re examining the Effects of Switching Costs

... a closed form solution for steady state prices, and shows that switching costs are more likely to be pro-competitive in markets that have many ... See full document

44

Closed form solutions for the generalized extreme value distribution

Closed form solutions for the generalized extreme value distribution

... This paper provides novel results on conditional distributions and moments of order statistics of GEV distributed random variables. These are complemented by a result that establishes an algorithm to derive the ... See full document

33

Analysis of the relationship between exchange rate and stock prices: evidence from nigeria

Analysis of the relationship between exchange rate and stock prices: evidence from nigeria

... The relationship between foreign exchange rate and stock prices has attracted much attention of researchers and academics since the beginning of ...of risk to the overall investment decision ... See full document

9

Proximal iteratively reweighted algorithm for low rank matrix recovery

Proximal iteratively reweighted algorithm for low rank matrix recovery

... singular value thresholding problem gains a closed form solution because of the special properties of nonconvex surrogate ...function value monotonically, and any limit point is a ... See full document

8

Seismic Fragility of Piping Systems: Consideration of Cyclic Behavior and Closed-Form Relationship.

Seismic Fragility of Piping Systems: Consideration of Cyclic Behavior and Closed-Form Relationship.

... Ju et al. (2015) and Ryu et al. (2016) used a modified version of the ASME (2013) “Twice the elastic slope” criteria to characterize failure in T-joints. They observed that the rotation corresponding to the collapse ... See full document

156

Generalized Green's functions for higher order boundary value matrix differential systems

Generalized Green's functions for higher order boundary value matrix differential systems

... problem, an existence condition as well as an explicit closed form expression for the solution of possibly not well-posed boundary value problems is given avoiding the increase of the pr[r] ... See full document

13

The Relationship between Intellectual Capital, Firm Value and Transparency

The Relationship between Intellectual Capital, Firm Value and Transparency

... of value, depends more on the intangible assets rather than tangible (physical and financial) assets; therefore, intellectual capital is the major source of economic development while financial assets are placed ... See full document

7

Closed form solution for minimizing power consumption in coordinated transmissions

Closed form solution for minimizing power consumption in coordinated transmissions

... of closed-form power allocation solutions are ...the form of the traditional water-filling but demanding cooperation among CTPs), a novel power allocation algorithm with joint minimization power ... See full document

14

Closed-form solution for peak crushing force of the S-rails

Closed-form solution for peak crushing force of the S-rails

... paper, closed form solution is performed to drive the peak crushing force of the ...agreement between such results shows the accuracy of the proposed analytical ... See full document

11

Closed form solution of a general three term recurrence relation

Closed form solution of a general three term recurrence relation

... In this section we apply the previous results, in order to obtain the closed-form solution of Eq. () without recursive indexing. By using the exact solution via R-sum expansion Eq. (), the ... See full document

12

A Closed Form Analytic Solution for Coupled Nonuniform Transmission Lines

A Closed Form Analytic Solution for Coupled Nonuniform Transmission Lines

... A closed form analytic solution was introduced for arbitrary Coupled Nonuniform Transmission Lines ...introduced solution was studied using a comprehensive ...introduced solution gives ... See full document

9

Multivariate Fréchet copulas and conditional value at risk

Multivariate Fréchet copulas and conditional value at risk

... economic risk capital of the aggregate risk using ...“fair” risk allocation in the sense that each risk component becomes allocated to its coherent univariate conditional ...subadditive ... See full document

20

II. DERIVATION OF THE CLOSED FORM SOLUTION FOR THE RLS ESTIMATION

II. DERIVATION OF THE CLOSED FORM SOLUTION FOR THE RLS ESTIMATION

... mean value of a pixel value in an oxygen tension map of retinal blood vessel can be formulated as equal to weighted mean of oxygen tension values of its neighboring ... See full document

6

A general closed-form spread option pricing formula

A general closed-form spread option pricing formula

... spread option payo ff in terms of the gamma ...examples. Closed form distribution free bounds and optimal hedging strategies for spread options are derived in Laurence and Wang ... See full document

45

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