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Semi-analytical pricing of options written on SOFR futures
In this paper, we propose a semi-analytical approach to pricing options on SOFR futures
where the underlying SOFR follows a time-dependent CEV model. By definition, these …
where the underlying SOFR follows a time-dependent CEV model. By definition, these …
Simulasi harga opsi call asia dengan suku bunga tidak konstan
Pada dunia keuangan, hal yang menarik bagi investor saat ini adalah memprediksi harga
Opsi Call Asia yang wajar yaitu tidak menyebabkan penjual maupun pembeli opsi …
Opsi Call Asia yang wajar yaitu tidak menyebabkan penjual maupun pembeli opsi …
Asian option pricing under negative asset price in commodity market
P Ge, J Zhou - … Journal of Financial Markets and Derivatives, 2024 - inderscienceonline.com
The conundrum of crude oil's futures price plunging below zero thrust the markets into a
turbulent period in April 2020. Negative prices have long been seen in commodity markets …
turbulent period in April 2020. Negative prices have long been seen in commodity markets …
[PDF][PDF] Efficient Pricing of Path Dependent Options with Low Volatility
In this chapter, we develop a new option pricing model based on the modal average of the
underlying asset. Financial derivatives have developed rapidly over the past few decades …
underlying asset. Financial derivatives have developed rapidly over the past few decades …
Valuación de Opciones Asiáticas: Comparación de Métodos Analíticos y Simulación Monte Carlo
N Gavira-Duron, M Kashif - revistaeseconomia.mx
El presente trabajo se calcula la valoración de opciones asiáticas del tipo europeo,
utilizando la Aproximación Turnbull y Wakeman, la aproximación de Levy; ası como la …
utilizando la Aproximación Turnbull y Wakeman, la aproximación de Levy; ası como la …