Search Results - subject:"Contingent"

Study on the validity of volatility trading

Castillo, Alberto; Mcwilliams, Jose Manuel Mira - In: FinTech 5 (2026) 1, pp. 1-50

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the 100 most actively traded U.S. equities from 2018 to...

Persistent link: https://www.econbiz.de/10015628389

Information-neutral hedging of derivatives under market impact and manipulation risk

Alimoradian, Behzad; Barigou, Karim; Eyraud, Anne - In: International Journal of Financial Studies : open … 14 (2026) 1, pp. 1-28

The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...

Persistent link: https://www.econbiz.de/10015591116

Contagion and default risks in derivative pricing : a Hawkes-based model

Agana, Francis; Maré, Eben - In: Risks : open access journal 14 (2026) 3, pp. 1-27

informs not only investors' investment strategies but also the prices of contingent claims. In this article, we present a … shocks. In both markets, we derive an indifference price for a contingent claim that is subject to the risk of default and … show the impacts the investor's risk aversion and external shocks on the price of the contingent claim. …

Persistent link: https://www.econbiz.de/10015638968

Behavioral biases in stated preference valuation of mortality risk reductions : cost vector, anchoring, and scope effects

Zawadzki, Wojciech; Andersson, Henrik; Czajkowski, Mikołaj - 2026

Persistent link: https://www.econbiz.de/10015616229

Optimal design of multi-asset options

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 13 (2025) 1, pp. 1-20

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk...

Persistent link: https://www.econbiz.de/10015333614

Estimating recreation benefits of avoiding blue green algae and red tide in South Florida

Forys, Beth; Hindsley, Paul; Morgan, Owen Ashton; … - 2026 - Last revised: April 6, 2026

Persistent link: https://www.econbiz.de/10015644308

Pay up or pile up : willingness to pay for waste collection services in Conakry

Barry, Mamadou Saliou; Creti, Anna; Lobo, Katharina; … - 2026

Persistent link: https://www.econbiz.de/10015640006

Pricing options on the maximum or the minimum of several assets with default risk

Zhang, Jiayi; Zhou, Ke - In: The North American journal of economics and finance : a … 75 (2025) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10015338077

Pricing vulnerable options when debts have performance-sensitivity provisions

Liu, Yu-Hong; Jiang, I-Ming; Hung, Mao-Wei - In: International review of economics & finance : IREF 103 (2025), pp. 1-20

Persistent link: https://www.econbiz.de/10015482673

Agrivoltaics increases public acceptance of solar energy production on agricultural land

Zeddies, Hendrik Hilmar; Parlasca, Martin Christoph; … - 2025

Competition for land is a key challenge for decarbonized energy transitions. Open-space solar energy farms are gaining in importance but have large land requirements and displace agricultural production. Agrivoltaics offers a compromise, integrating solar panels into existing farming operations....

Persistent link: https://www.econbiz.de/10015324821