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investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …
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procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …
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that in Gram-Charlier expansions, parameters appear which directly control the skewness and kurtosis. Those expansions, of …
Persistent link: https://www.econbiz.de/10014204365
of future stock, or any other asset, returns from European call and put prices. Instead of options prices used by …
Persistent link: https://www.econbiz.de/10014224966
The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance …
Persistent link: https://www.econbiz.de/10013038353
This presentation motivates the concept of smart derivative contracts. Inspired by smart contracts from distributed ledger technology, we define a derivative contract with an automatic termination feature
Persistent link: https://www.econbiz.de/10012909915
We argue that Islamic principles, in particular the avoidance of ribā and gharar should be applied with respect to real economic value rather than to monetary value in terms of conventional currency. In order to reconcile monetary value with economic value, we propose a reference currency...
Persistent link: https://www.econbiz.de/10013102582
In this note we describe a smart derivative contract with a fully deterministic termination to remove many of the inefficiencies in collateralized OTC transactions. The automatic termination procedure embedded in the smart contracts replaces the counterparty default by an option right of the...
Persistent link: https://www.econbiz.de/10012899557