|
|
|
|
|
Roger Glick, Jaehak Jeong, Raghavan Srinivasan, Jeffrey G. Arnold and Younggu Her
Computer simulation models are a useful tool in planning, enabling reliable yet affordable what-if scenario analysis. Many simulation models have been proposed and used for urban planning and management. Still, there are a few modeling options available ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Charlie Charoenwong, David K. Ding and Ping Wang
Since the adoption of the SEC?s Rule 10b-21 in 1988, many researchers have been concerned over the effectiveness of short sales constraints in preventing manipulative trading in the derivatives market. We analyze whether options can be used as synthetic ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Linus Wilson
This paper develops a formula to numerically estimate the unsubsidized, fair-market value of the toxic assets purchased with Federal Reserve loans. It finds that subsidy rates on these loans were on average 33.9 percent at origination. In contrast, by th...
ver más
|
|
|
|
|
|
|
|
|
|
|
Kejing Zhao, Jinliang Zhang and Qing Liu
The reasonable pricing of options can effectively help investors avoid risks and obtain benefits, which plays a very important role in the stability of the financial market. The traditional single option pricing model often fails to meet the ideal expect...
ver más
|
|
|
|
|
|
|
|
|
|
|
Pavel V. Gapeev, Libo Li and Zhuoshu Wu
We derive explicit solutions to the perpetual American cancellable standard put and call options in an extension of the Black?Merton?Scholes model. It is assumed that the contracts are cancelled at the last hitting times for the underlying asset price pr...
ver más
|
|
|
|
|
|
|
|
|
|
|
Giuseppe Inturri, Nadia Giuffrida, Michela Le Pira, Martina Fazio and Matteo Ignaccolo
Increasing the Quality of Service (QoS) of Public Transport (PT), in order to attract more users, is one of the goals of transport companies and urban policy-makers. A continuous monitoring of data on users? satisfaction is desirable, but most of the tim...
ver más
|
|
|
|
|
|
|
|
|
|
|
Cristina Viegas and José Azevedo-Pereira
This study develops a quasi-closed-form solution for the valuation of an American put option and the critical price of the underlying asset. This is an important area of research both because of a large number of transactions for American put options on ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Bodo Herzog and Sufyan Osamah
This paper studies option pricing based on a reverse engineering (RE) approach. We utilize artificial intelligence in order to numerically compute the prices of options. The data consist of more than 5000 call- and put-options from the German stock marke...
ver más
|
|
|
|
|
|
|
|
|
|
|
Liang Wen, Jeff Kenworthy, Xiumei Guo and Dora Marinova
Traffic congestion is one of the most vexing city problems and involves numerous factors which cannot be addressed without a holistic approach. Congestion cannot be narrowly tackled at the cost of a city?s quality of life. Focusing on transport and land ...
ver más
|
|
|
|
|
|
|
|
|
|
|
André Giudice de Oliveira,Vinicius Mothé Maia,Antonio Carlos Figueiredo Pinto,Marcelo Cabús Klotzle,Luiz Felipe Jarques da Motta
Pág. 44 - 64
This paper compares the BM&FBovespa reference option premiums with the Garman-Kohlhagen model, Corrado-Su modified model, Merton's jump-diffusion model, and Black modified model for skewness and kurtosis for pricing dollar options and Ibovespa futures. T...
ver más
|
|
|
|
|
|