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Allan Jonathan da Silva, Jack Baczynski and José Valentim Machado Vicente
We introduce a novel stochastically correlated two-factor (i.e., bivariate) diffusion process under the square-root format, for which we analytically obtain the corresponding solutions for the conditional moment-generating functions and conditional chara...
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Mengkai Liu and Chenwei Zhu
The bidding price is one of the important factors for construction enterprises in winning a bid. In the context of public bidding in the construction industry, in the process of group competition, how to estimate the individual bids to calculate their ma...
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Marwan Mahmoud and Sami Ben Slama
The Internet of Energy (IoE) is a topic that industry and academics find intriguing and promising, since it can aid in developing technology for smart cities. This study suggests an innovative energy system with peer-to-peer trading and more sophisticate...
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Kejing Zhao, Jinliang Zhang and Qing Liu
The reasonable pricing of options can effectively help investors avoid risks and obtain benefits, which plays a very important role in the stability of the financial market. The traditional single option pricing model often fails to meet the ideal expect...
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Zhenya Liu and Yuhao Mu
Investors decide the best time to take a given action by maximizing their utility function while taking into account current information and the underlying process in the optimal stopping model. Option pricing, sequential analysis, disorder problems, and...
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Anders Bondemark, Erik Johansson, Fredrik Kopsch
Pág. 463 - 477
Are there option values for transport services? A few studies have tried to answer this question through various stated preference methods, but we do not know much about its magnitude in different contexts. In this paper, we summarize the theory on optio...
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Vitor H. Carvalho and Raquel M. Gaspar
The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under certain...
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Yusho Kagraoka
In option pricing models with correlated stochastic processes, an option premium is commonly a solution to a partial differential equation (PDE) with mixed derivatives in more than two space dimensions. Alternating direction implicit (ADI) finite differe...
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Kyung Jin Choi, Byungkwon Lim and Jaehwan Park
This study explored the option value embedded in a reverse mortgage in Korea through an empirical analysis, using the Black?Scholes option-pricing model. The value of a reverse mortgage is affected by the variation in house prices. However, older homeown...
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Janis Bauer, Holger Fink and Eva Stoller
From 2014 to 2018, issuers of retail structured products in Germany established and calculated the Issuer Estimated Value (IEV), a fair value designed to offer more transparency for retail investors. By reporting the IEV in the product information sheet,...
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