Search results for "Option"

Biopharmaceutical alliances and competition: a real options game approach

2013

Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models

2016

European options can be priced by solving parabolic partial(-integro) differential equations under stochastic volatility and jump-diffusion models like the Heston, Merton, and Bates models. American option prices can be obtained by solving linear complementary problems (LCPs) with the same operators. A finite difference discretization leads to a so-called full order model (FOM). Reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD). The early exercise constraint of American options is enforced by a penalty on subset of grid points. The presented numerical experiments demonstrate that pricing with ROMs can be orders of magnitude faster within a given model p…

Identifying relevant segments of AI applications adopters : Expanding the UTAUT2’s variables

2021

Artificial intelligence (AI) is a future-defining technology, and AI applications are becoming mainstream in the developed world. Many consumers are adopting and using AI-based apps, devices, and services in their everyday lives. However, research examining consumer behavior in using AI apps is scant. We examine critical factors in AI app adoption by extending and validating a well-established unified theory of adoption and use of technology, UTAUT2. We also explore the possibility of unobserved heterogeneity in consumers’ behavior, including potentially relevant segments of AI app adopters. To augment the knowledge of end users’ engagement and relevant segments, we have added two new antec…

TUG-OF-WAR, MARKET MANIPULATION, AND OPTION PRICING

2014

We develop an option pricing model based on a tug-of-war game involving the the issuer and holder of the option. This two-player zero-sum stochastic differential game is formulated in a multi-dimensional financial market and the agents try, respectively, to manipulate/control the drift and the volatility of the asset processes in order to minimize and maximize the expected discounted pay-off defined at the terminal date $T$. We prove that the game has a value and that the value function is the unique viscosity solution to a terminal value problem for a partial differential equation involving the non-linear and completely degenerate parabolic infinity Laplace operator.

Plasmon de surface de particules métalliques toroïdales

2006

This thesis deals with the optical properties of small metal torii. A method of resolution of the equation of Laplace in toroidal coordinates is introduced and the radiative properties of the metal toric nanoparticules are studied within the electrostatic framework. The study on the eigenmodes spatial distribution suggests that metal nanotorus can carry a non-zero magnetic dipole moment at optical frequencies. Analytical expressions for the extinction and scattering cross sections of the torus are also found and compared with numerical simulations and experimental results obtained with collaborations. The sensitivity of the plasmon frequency to the refraction index of the external medium an…

Racialization, Othering, and Coping Among Adult International Adoptees in Finland

2015

This qualitative interview study examined experiences of racialization and coping among 14 adult international adoptees in Finland. The results show that adoptees encounter a range of racializations by which they are made ‘other’ and excluded from Finnishness. Racialization mostly occurs indirectly and subtly, and often by significant others, and consequently is more difficult to cope with. The findings suggest that the Finnish adoption community and adoption research should pay more attention to experiences of racialization among adoptees and take notice of the context-specific nature of coping when supporting adoptees to develop strategies that reduce discrimination and protect their well…

CORPORATE VENTURE CAPITAL AND THE PROBABILITY TO ACQUIRE THE BACKED START-UP: A REAL OPTION PERSPECTIVE

2017

To sustain their competitive positions, an increasing number of corporates access new knowledge and technologies from emerging start-ups by engaging in Corporate Venture Capital (CVC) investments. CVC investments provide corporates the option to in-source start-ups’ knowledge and technologies through follow-on acquisitions. However acquiring a backed start-up is not always a guarantee of success. Then, corporates should consider which are the most appropriate conditions under which it is beneficial to acquire a CVC backed start-up. Utilizing the theoretical lens of Real Option, we examine the conditions under which a CVC investment may evolve into an acquisition of the backed start-up. We p…

Valuation of Barrier Options in a Black-Scholes Setup with Jump Risk

1999

This paper discusses the pitfalls in the pricing of barrier options approximations of the underlying continuous processes via discrete lattice models. These problems are studied first in a Black-Scholes model. Improvements result from a trinomial model and a further modified model where price changes occur at the jump times of a Poisson process. After the numerical difficulties have been resolved in the Black-Scholes model, unpredictable discontinuous price movements are incorporated.

A Partial Equilibrium Model of Option Markets

2000

This paper addresses the questions who is buying and who is selling options on a stock, the optimal position to hold, and how this affects the price. The individual demand functions and the equilibrium allocation are derived using an asymptotically valid expansion. Trading occurs only at discrete dates; the option does not have to complete the market. The paper also discusses the conditions under which trade results, the importance of heterogeneity for trade, when preferences become irrelevant to price options, and the case in which there is only a spanning demand, but no risk-sharing demand in options.

Influence of bruxism on survival of porcelain laminate veneers

2013

Objectives: This study aims to determine whether bruxism and the use of occlusal splints affect the survival of porcelain laminate veneers in patients treated with this technique. Material and Methods: Restorations were made in 70 patients, including 30 patients with some type of parafunc - tional habit. A total of 323 veneers were placed, 170 in patients with bruxism activity, and the remaining 153 in patients without it. A clinical examination determined the presence or absence of ceramic failure (cracks, frac - tures and debonding) of the restorations; these incidents were analyzed for association with bruxism and the use of splints. Results: Analysis of the ceramic failures showed that …