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Harish S. Bhat and Nitesh Kumar
The Markov Tree model is a discrete-time option pricing model that accounts for short-term memory of the underlying asset. In this work, we compare the empirical performance of the Markov Tree model against that of the Black-Scholes model and Heston?s st...
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Erik Sonne Noddeboe and Hans Christian Faergemann
Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been developed to counter this. However, like all insurance types, these strategies are generally costly to implement, and over time can signif...
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Robert J. Boldin, Mukesh Chaudhry, Ibrahim Affaneh
Linkages between the Islamic Stock Indices, the Indices of Europe, Asia, US, UK, and Japan, and those of the emerging markets are empirically analyzed. Using methodologies that account for idiosyncratic factors in the data, evidence of linkages are found...
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