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Stochastic Calculus and the Black-Scholes-Merton Model: A Simplified Approach

Chang, Kuo-Ping - 2024

affect the option pricing model. This paper has shown that with no arbitrage, i.e., under the Arbitrage (Gordan) theorem …-Scholes-Merton option pricing formula require that risk-free interest rate be a linear function of underlying asset’s expected rate of …

Persistent link: https://www.econbiz.de/10015214430

Canonical Representation Of Option Prices and Greeks with Implications for Market Timing

Cadogan, Godfrey - 2010

We introduce a canonical representation of call options, and propose a solution to two open problems in option pricing … pricing power law which eschewed assumptions about risk attitudes, rejected risk neutrality, and made no assumptions about … the call option price in his option pricing model with stochastic volatility–without appealing to an equilibrium asset …

Persistent link: https://www.econbiz.de/10015222071

SECURITY DESIGN THAT ADDRESSES AGENCY CONFLICTS AND INFORMATION ASYMMETRY

Tewari, Manish - 2008

the light of agency theory and asymmetric information. The focus is on the nonconvertible callable-puttable fixed … issues and asymmetric information. A sample of (159) securities issued over the period (1977-2005) are examined using Merton … insurance against the asymmetric information about the firm's downside risk. Specifically, the effects of asset substitution are …

Persistent link: https://www.econbiz.de/10009431118

Measuring Risk Structures of Assets: P-index and C-index

Chang, Kuo-Ping - 2023

Risk can be defined as the likelihood that you can deliver your promise. This paper has used the European put option and the European call option to construct the p-index and c-index to measure the risk levels (likelihoods) of owning or short-selling an asset when the asset provides at least �...

Persistent link: https://www.econbiz.de/10015214429

Linepack storage valuation under price uncertainty

Arvesen, Øystein; Medbø, Vegard; Fleten, Stein-Erik; … - 2012

Natural gas flows in pipelines as a consequence of the pressure difference at the inlet and outlet. Adjusting these pressures makes it possible to inject natural gas at one rate and withdraw at a different rate, hence using the pipeline as storage as well as transport. We study the value of...

Persistent link: https://www.econbiz.de/10015235042

On the Observational Implications of Knightian Uncertainty

Hassett, Kevin; Zhong, Weifeng - 2017

evidence also suggests that, even with information acquisition, the Knightian uncertainty of the world may be not "learnable …

Persistent link: https://www.econbiz.de/10015258445

On the Observational Implications of Knightian Uncertainty

Hassett, Kevin; Zhong, Weifeng - 2017

evidence also suggests that, even with information acquisition, the Knightian uncertainty of the world may be not "learnable …

Persistent link: https://www.econbiz.de/10015259663

Markets with endogenous uncertainty: theory and policy

Chichilnisky, Graciela - 1996

Classic formulations of markets regard uncertainty as originating from acts of nature. I extend this to a formulation of markets which face risks induces by the economy itself, such as the environmental risks of atmospheric and climate change induced by CFC and CO2 emissions. I formulate and...

Persistent link: https://www.econbiz.de/10015259968

Foreign Reserve Management in an Oil Economy: Macroeconomic Risk as a Real Option

Scandizzo, Pasquale; Pagliacci, Carolina - 2010

This paper assesses reserve management for determining optimal or minimal reserves for an oil producing economy under dynamic uncertainty. Reserve benchmarks are formulated taking into consideration the amount of contingent liabilities in foreign exchange that arises during currency crises....

Persistent link: https://www.econbiz.de/10015237063

Banking Stability in the ESG Framework Across Italian Regions

Arnone, Massimo; Leogrande, Angelo; Costantiello, Alberto; … - 2024

This work aims to initiate a reflection on the awareness of environmental, social, and corporate governance issues, summarized in the acronym ESG (Environmental, Social, Governance), among Italian SMEs. The integration of ESG issues into business models has led to an expansion of the risk...

Persistent link: https://www.econbiz.de/10015213734