to describe the sign and size of financial volatility asymmetry. The results indicate that the Tunisian stock market, in … impact on volatility than a positive innovation (news). This implies that this sector is not efficient under the weak form of …

to describe the sign and size of financial volatility asymmetry. The results indicate that the Tunisian stock market, in … impact on volatility than a positive innovation (news). This implies that this sector is not efficient under the weak form of …

In this thesis we discuss option pricing and hedging under regime switching models. To the standard model we add jumps … example, we can define a process such that the stock price moves to a high volatility state and simultaneously has a large … hedging options under finitely many regime states and with finitely many possible jump sizes. We find risk-free hedge …

Die Arbeit hat das Ziel, die ursprünglich rein kapitalmarkttheoretisch ausgelegte Optionspreistheorie für das … den Leitlinien der Optionspreistheorie folgen.Mit einer auf die 16 führenden Pharmaunternehmen bezogenen empirischen …

increasing in the volatility of demand they face, decreasing in the air premium they must pay, and increasing in the … firms with a real option to smooth demand volatility on international markets, and we provide simple calculations of that …

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying … Brownian motion. After substituting into the GBM the direct volatility estimator for the true, but unknown, value of the …