搜索结果: 1-8 共查到“数量经济学 Prices”相关记录8条 . 查询时间(0.012 秒)
Interest Rate Risk of Bond Prices on Macedonian Stock Exchange - Empirical Test of the Duration, Modified Duration and Convexity and Bonds Valuation
Treasury Bonds risk-free valuation intrinsic value duration, convexity
2012/9/14
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determi...
Stock prices assessment: proposal of a new index based on volume weighted historical prices through the use of computer modeling
Agent based simulation Computer modeling, Complex systems Financial analysis Stock market Stock price Volume weighted average price Stock price index.
2012/9/14
The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the sc...
High-order short-time expansions for ATM option prices under a tempered stable Lévy model
Exponential Levy models CGMY and tempered stable models short-time asymptotics at-the-money option pricing implied volatility.
2012/9/14
The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel second-order approximation for ATM opti...
Option prices with call prices
Option valuation Barrier options Call options Americanoptions static hedging
2012/9/14
There exist several methods how more general options can be priced with call prices. In this article, we extend these results to cover a wider class of options and market models. In particular, we int...
Do arbitrage-free prices come from utility maximization?
arbitrage-free prices come from utility maximization
2012/9/14
In this paper we ask whether arbitrage-free prices are obtained by utility maximization. This is found to be true for any given investor, provided that one considers the marginal utility-based prices ...
Model-independent Bounds for Option Prices: A Mass Transport Approach
Model-independent pricing Monge-Kantorovich transport problem option arbitrage
2011/7/4
In this paper we investigate model-independent bounds for exotic options written on a risky asset
using infinite-dimensional linear programming methods.
Using arguments from the theory of Monge-Kant...
Temporal Dependencies in UK regional House Prices
Time reversibility time irreversibility nonlinearity regional house prices
2010/9/7
Using tests of time deformation and time reversibility, this paper provides further statistical evidence on the univariate time series properties of UK regional house prices, and on the potentially no...
Nonlinear Mean Reversion in Stock Prices
Fundamental value mean reversion present value model STAR model
2010/9/7
In this paper we investigate mean reversion dynamics in the deviation of the yearly S&P 500 index from its fundamental value. We consider different versions of the present value model with constant an...