Search results for "Option"
showing 10 items of 345 documents
Option deltan laskeminen diskreetin Malliavin-laskennan avulla
2016
Tässä tutkielmassa esitellään tapa laskea diskreetti approksimaatio option deltalle. Approksimaatio saadaan diskreetin Malliavin-laskennan avulla ja tätä varten määritellään Malliavin-derivaatta sekä Skorohod-integraali sopivaan diskreettiin todennäköisyysavaruuteen. Tavoitteena on laskea eurooppalaisen osto-option ja binäärioption deltat. Ensimmäisessä luvussa esitellään oleellisimpia määritelmiä, esimerkkejä ja aputuloksia, joita tarvitaan esitiedoiksi myöhempiä lukuja varten. Luvun määritelmiin ja aputuloksiin ei kuitenkaan syvennytä sen enempää. Heti toisen luvun alussa määritellään todennäköisyysavaruus diskreettiä satunnaiskävelyä varten. Satunnaiskävelyä käytetään diskreetissä option…
PASSAGE OBLIGATOIRE AUX NORMES COMPTABLES IAS/IFRS, CONTRAINTES EN LIQUIDITE ET RATIONNEMENT DU CREDIT : UNE ETUDE EMPIRIQUE DANS L'INDUSTRIE BANCAIR…
2012
Financial theory indicates that banks dependent on external resources and/or financially fragile have more difficulties in refinancing their operations of credit supply, due to the informational problems they face and/or they cause. In this context, this study tests the hypothesis that the mandatory adoption by banks of the IAS/IFRS accounting standards, known to be of higher quality, leads to an increase in the quantity of loans granted by banks constrained in liquidity, all else equal. Based on a sample of European banks, between 2003 and 2008, we obtain results in favour of this hypothesis.
Catastrophic risks and the pricing of catastrophe equity put options
2021
In this paper, after a review of the most common financial strategies and products that insurance companies use to hedge catastrophic risks, we study an option pricing model based on processes with jumps where the catastrophic event is captured by a compound Poisson process with negative jumps. Given the importance that catastrophe equity put options (CatEPuts) have in this context, we introduce a pricing approach that provides not only a theoretical contribution whose applicability remains confined to purely numerical examples and experiments, but which can be implemented starting from real data and applied to the evaluation of real CatEPuts. We propose a calibration framework based on his…
Continuous mobile banking usage and relationship commitment – A multi-country assessment
2015
Although conducting banking transactions via mobile phones, smart phones and tablets has become popular in many countries, major gaps exist in our understanding of those who use this technology, particularly how experienced users perceive mobile banking. Drawing from the literature on mobile banking adoption, continuous usage behavior and post-adoption of technology behavior, the authors shed light on the nature of experienced mobile banking users’ relationship commitment (RC) with their bank and personal finances. The study reveals changes in commitment and shows that mobile banking offers substantial added value to users. Overall, this research will help managers better understand the imp…
"This is who I am": Identity expressiveness and the theory of planned behavior
2007
- Peer reviewed This paper explores the role of self-identity expressiveness and social identity expressiveness in the context of Multimedia Messaging (MMS) adoption. An extended version of the Theory of Planned Behavior (TPB) including a wider array of identity and social influences is developed and tested. As hypothesized, self-identity expressiveness and social identity expressiveness prove to be significant determinants of intentions to use. Moreover, the extended TPB model explains 62% of the variance in usage intentions. The paper also investigates the relationship between self identity expressiveness and attitude and between social identity expressiveness and subjective norm. The stu…
Financial literacy is not enough: The role of nudging toward adequate long-term saving behavior
2020
Abstract This paper analyzes whether nudging has a relevant effect on financially literate individuals, even if these individuals are professionals with extensive experience of finance and pensions. The paper presents the results of a field experiment with employees of a leading life and pensions company in Spain. The results of the experiment show that financial literacy and awareness of the importance of saving are not enough for individuals to act. Even with pension plan experts, the combination of two types of instruments is necessary: rational instruments, such as financial literacy and awareness of the economic implications of retirement, and nudging, which moves individuals to action…
Intentions to use mobile services: Antecedents and cross-service comparisons
2005
- This article develops and tests a model to explain consumers' intention to use mobile services. Through triangulating theories from the diverse fields of information systems research, uses and gratification research, and domestication research, the authors put forth an integrated model that explains intention to use mobile services. The model proposes four overall influences on usage intention: motivational influences, attitudinal influences, normative pressure, and perceived control. The authors study the type of interactivity and process characteristics associated with the service that moderate the effects on the relationship between the proposed antecedents and usage intention. The res…
Mobile banking services adoption in Pakistan: are there gender differences?
2017
Purpose The purpose of this paper is to provide a comprehensive insight into the deciding factors affecting an individual’s intention to adopt mobile banking (m-banking) services in Pakistan. Design/methodology/approach A survey approach was used with a sample of 189 responses from across Pakistan. Multi-group analysis was performed in order to detect gender differences among men and women in the process of adopting m-banking. Findings The paper found support for the positive effect of perceived behavioral control (PBC) and attitudes (ATT) toward m-banking adoption intentions. Significant differences between men and women were found to affect subjective norms (SN) on adoption intention, ev…
Optimal control of option portfolios and applications
1999
We present an expected utility maximisation framework for optimally controlling a portfolio of options. By combining the replication approach to option pricing with ideas of the martingale approach to (stock) portfolio optimisation we arrive at an explicit solution of the option portfolio problem. Its characteristics are illustrated by some specific examples. As an application, we calculate an optimal option and consumption strategy for an investor who is obliged to hold a stock position until the time horizon.
An Iterative Method for Pricing American Options Under Jump-Diffusion Models
2011
We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou's and Merton's jump-diffusion models show that the resulting iteration converges rapidly.