Search results for "Option"
showing 10 items of 345 documents
Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
2010
Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available contracts, Quanto options are now becoming very popular for a simple reason: they take into account the strong correlation between energy consumption and certain weather conditions, so enabling price and weather risk to be controlled at the same time. These products are more efficient and, in many cases, significantly cheaper than simpler plain vanilla options. Unfortunately, the specific features of energy and weather time series do not enable the use of …
CONVERGENCE AND DIVERGENCE: A NEW APPROACH, NEW DATA, AND NEW RESULTS
2020
Recently, Penn World Tables include new data that enable calculation of total factor productivity in addition to output for a large set of countries. We use these new data to examine convergence and divergence across countries by applying a new approach, which differentiates between the dynamics of output and of productivity. Our empirical results lead to two main new contributions to the literature. The first is on the interpretation of “β-convergence” in “growth regressions.” It means that output per worker in each country converges to productivity but does not imply convergence across countries, since productivity tends to diverge from the global frontier. The second contribution is to t…
How globalization is changing digital technology adoption: An international perspective
2021
Abstract This paper examines how globalization influences the adoption of digital technologies. The purpose of the paper is to explain how globalization affects new technology adoptions. We use country-level data from the globalization index (KOF), digital adoption index (DAI), global competitiveness index (GDI), and total factor productivity (TFP) on 183 countries and using advanced panel data modeling. Empirical findings show globalization can significantly affect technology adoption in all countries. The study's findings show globalization positively affects technology transfers and spillovers; here, using digital technology. Countries undergoing significant technological changes achieve…
The Random-Time Binomial Model
1999
In this paper we study Binomial Models with random time steps. We explain, how calculating values for European and American Call and Put options is straightforward for the Random-Time Binomial Model. We present the conditions to ensure weak-convergence to the Black-Scholes setup and convergence of the values for European and American put options. Differently to the CRR-model the convergence behaviour is extremely smooth in our model. By using extrapolation we therefore achieve order of convergence two. This way it is an efficient tool for pricing purposes in the Black-Scholes setup, since the CRR model and its extrapolations typically achieve order one. Moreover our model allows in a straig…
The informational role of thin options markets: Empirical evidence from the Spanish case
2016
This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly, we examine options trading activity before the release of earnings news (including the announcement period). The results show that the impact on prices before the earnings release is significantly bigger when options trading is available. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed trading, especially when the earnings surprise is h…
Dentist´s knowledge, attitudes and determining factors of the conservative approach in teeth with reversible pulpitis and deep caries lesions
2018
Background The aim of this study was to investigate dentists` knowledge, attitudes and factors regarding the conservative approach in the management of deep caries lesions (DCLs) in teeth with reversible pulpitis. Material and methods 187 dentists were contacted directly or by mail, and 125 (67%) were finally included in the study. Dentists were requested to answer an open/discursive questionnaire about the routine approach to the diagnosis and treatment of DCLs, including knowledge-related attitudinal items. Results Total caries excavation was the preferred treatment option for more than 80% of dentists in case of DCL with reversible pulpitis. Only a small percentage (8%) chose partial car…
Labor productivity and firm-level TFP with technology-specific production functions
2020
Abstract We investigate the technological dimension of productivity, presenting an empirical methodology based on mixture models to disentangle the labor productivity differences associated with the firm's choice of technology (BTFP) and those related to the firm's ability to exploit the adopted technology (WTFP). The estimation endogenously determines the number of technologies (in the sector) and degree of technology sharing across firms (i.e., for each firm, the probability of using a given technology). By using comparable data for about 35,000 firms worldwide distributed across 22 (two-digit) sectors, we show BTFP to be at least as important as WTFP in explaining the labor productivity …
AGO Algorithms for the Treatment of Breast Cancer: Update 2021
2021
Geburtshilfe und Frauenheilkunde 81(10), 1101-1111 (2021). doi:10.1055/a-1519-7089
Factors and actors leading to the adoption of a JavaScript framework
2018
The increasing popularity of JavaScript has led to a variety of JavaScript frameworks that aim to help developers to address programming tasks. However, the number of JavaScript frameworks has risen rapidly to thousands of versions. It is challenging for practitioners to identify the frameworks that best fit their needs and to develop new ones which fit such needs. Furthermore, there is a lack of knowledge regarding what drives developers towards the choice. This paper explores the factors and actors that lead to the choice of a JavaScript framework. We conducted a qualitative interpretive study of semi-structured interviews. We interviewed 18 decision makers regarding the JavaScript framew…
Value based trading of real assets in shipping under stochastic freight rates
2009
The article uses a real options valuation model with stochastic freight rates to investigate market efficiency and the economics of switching between the dry bulk and the tanker markets in international shipping. A dry bulk carrier is replaced with a tanker when the expected net present value of such a switch is optimal from a real options based decision rule. Depending on the development of the markets a reversal may take place later. The cost and demand parameters upon which the decisions to switch are made, including the stochastic characteristics of freight rates, are estimated from an empirical analysis that is updated every week throughout a 12-year time period from 1993 to 2005. The …