Search results for "Option"
showing 10 items of 345 documents
Generating Multi-Asset Arbitrage-Free Scenario Trees with Global Optimization
2013
Simulation models of economic, financial and business risk factors are widely used to assess risks and support decision-making. Extensive literature on scenario generation methods aims at describing some underlying stochastic processes with the least number of scenarios to overcome the "curse of dimensionality". There is, however, an important requirement that is usually overlooked when one departs from the application domain of security pricing: the no-arbitrage condition. We formulate a moment matching model to generate multi-factor scenario trees satisfying no-arbitrage restrictions with a minimal number of scenarios and without any distributional assumptions. The resulting global optimi…
Robust and Efficient IMEX Schemes for Option Pricing under Jump-Diffusion Models
2013
We propose families of IMEX time discretization schemes for the partial integro-differential equation derived for the pricing of options under a jump diffusion process. The schemes include the families of IMEX-midpoint, IMEXCNAB and IMEX-BDF2 schemes. Each family is defined by a convex parameter c ∈ [0, 1], which divides the zeroth-order term due to the jumps between the implicit and explicit part in the time discretization. These IMEX schemes lead to tridiagonal systems, which can be solved extremely efficiently. The schemes are studied through Fourier stability analysis and numerical experiments. It is found that, under suitable assumptions and time step restrictions, the IMEX-midpoint fa…
An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
2014
Partial integro-differential equation (PIDE) formulations are often preferable for pricing options under models with stochastic volatility and jumps, especially for American-style option contracts. We consider the pricing of options under such models, namely the Bates model and the so-called stochastic volatility with contemporaneous jumps (SVCJ) model. The nonlocality of the jump terms in these models leads to matrices with full matrix blocks. Standard discretization methods are not viable directly since they would require the inversion of such a matrix. Instead, we adopt a two-step implicit-explicit (IMEX) time discretization scheme, the IMEX-CNAB scheme, where the jump term is treated ex…
Retrograde endoureterotomy as a treatment option for impacted calculus in the ureterointestinal junction
2021
Introduction: In patients with a history of radical cystectomy and with intestinal diversion, urolithiasis in the upper urinary tract is a frequent event. Material and methods: We describe for the first time a case of retrograde endoureterotomy used to treat a calculus proximal to the ureterointestinal junction. Results: This technique is of interest when antegrade access is not possible. In our example, after passing the guidewire percutaneously, and externalize it through the stoma, the left meatus was reached with a resectoscope inserted through the ileal duct. After the use of a balloon to prevent migration of the calculus, a retrograde endoureterotomy was performed with a Collins knife…
Medical Student Motivation to Work in E-learning
2015
Nowadays information technology is widley used in studying process thus enabling students to acquire knowledge in a convenient place and time. It is a novel approach and a challenge for both – the students and the faculty of Latvian University Riga Medical College (LU RMK). In order to provide and develope e-learning environment LU RMK has launched a Project whose main objective is „to develop guidelines and video training materials in the e-environment for students and faculty staff in order to provide a more efficient studying process”. Implementation of the project has been started with a pilot study „Medical students’ motivation to work in e-environment”, designed to explore students’ m…
Expression of selected molecular factors in two types of endometrial cancer
2021
BACKGROUND Endometrial cancers (EC) are a heterogeneous group of malignant neoplasms differing in etiology, clinical-pathological features and prognosis. OBJECTIVES To determine the differences between the expression of selected molecular factors and find connections between them in order to isolate possible biomarkers influencing treatment options. MATERIAL AND METHODS The investigated data involved archival histological preparations obtained from uterine EC samples taken from 137 patients, treated surgically between 2007 and 2014. The immunohistochemical Dako EnVisionTM Flex+ method was applied. RESULTS The expression of ERβ, MLH1 and BRCA1 was lower in ECI than in ECII patients. The ERα …
Incentive Properties of Residual Income when There is an Option to Wait
2005
Performance measures based on residual income are increasingly popular. The academic literature shows that residual income has important incentive properties when management bases investment decisions on the net present value (NPV) rule. My analysis focuses on the case in which investment decisions can be postponed, when management must extend the simple NPV rule by considering an option value. My analysis shows that some important incentive properties of residual income still hold when there is an option to wait, but only when the residual income measure is correctly adjusted. I also provide an incentive-based explanation of why the capital charge rate within firms is often significantly h…
Building a Consistent Pricing Model from Observed Option Prices
1999
This paper constructs a model for the evolution of a risky security that is consistent with a set of observed call option prices. It explicitly treats the fact that only a discrete data set can be observed in practice. The framework is general and allows for state dependent volatility and jumps. The theoretical properties are studied. An easy procedure to check for arbitrage opportunities in market data is proved and then used to ensure the feasibility of our approach. The implementation is discussed: testing on market data reveals a U-shaped form for the "local volatility" depending on the state and, surprisingly, a large probability for strong price movements.
Yet Another Note on the Leland's Option Hedging Strategy with Transaction Costs
2005
In a market with transaction costs the option hedging is costly. The idea presented by Leland (1985) was to include the expected transaction costs in the cost of a replicating portfolio. The resulting Leland's pricing and hedging method is an adjusted Black-Scholes method where one uses a modified volatility in the Black-Scholes formulas for the option price and delta. The Leland's method has been criticized on different grounds. Despite the critique, the risk-return tradeoff of the Leland's strategy is often better than that of the Black-Scholes strategy even in the case when a hedger starts with the same initial value of a replicating portfolio. This implies that the Leland's modification…
Mobile banking adoption: A literature review
2015
Electronic commerce (e-commerce) continues to have a profound impact on the global business environment, but technologies and applications also have begun to focus more on mobile computing, the wireless Web, and mobile commerce. Against this backdrop, mobile banking (m-banking) has emerged as an important distribution channel, with considerable research devoted to its adoption. However, this research stream has lacked a clear roadmap or agenda. Therefore, the present article analyzes and synthesizes existing studies of m-banking adoption and maps the major theories that researchers have used to predict consumer intentions to adopt it. The findings indicate that the m-banking adoption litera…