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This report was commissioned by the Camara de Comercialização de Energia Elétrica (CCEE), the market operator for the Brazilian electricity supply industry, to study the options for shor...
Analysing the new IFS-Leverhulme database on over 200 major British ®rms since 1968 we show that patents have an economically and statistically signi®cant impact on ®rm-level productivi...
The present paper analyzes the potential impacts of bio-ethanol expansion on agricultural production, food prices and farmers’ incomes in different regions of China. The results show that increase i...
Mineral nutrients such as Phosphorus and Zinc are getting scarcer worldwide. Unlike fossil fuels, for which over time substitutes can be developed, these nutrients cannot be substituted as they are es...
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. W...
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The nove...
We consider a square-integrable semimartingale with conditionally independent increments and symmetric jump measure, and show that its discrete realized variance dominates its quadratic variation in i...
After 30 years of discussion and research, the academic community has established a complete theoretical system of real options and provided an excellent framework for the use of real options theory i...
The paper introduces a modification of the passport options such that the holder selects select dynamically a weight function that control the distribution of the payments (benefits) for option holder...
Motivated by the pricing of lookback options in exponential L\'evy models, we study the difference between the continuous and discrete supremum of L\'evy processes. In particular, we extend the result...
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. Fo...
We compute the improved bounds on the copula of a bivariate random vector when partial information is available, such as the values of the copula on the subset of $[0,1]^2$, or the value of a function...
We consider the pricing of American options in a model where the underlying asset is assumed to follow a jump diffusion process. The option value can be expressed as the solution to a variational ineq...
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute ...
We consider the pricing of derivatives written on the discrete realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limi...

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