the price volatility spillover effect indicates that price volatility in different markets can be mutually affected. the objective of the study is to analyze volatility price spillover effects on the vertical levels including input, wholesale and retail sale levels in the tehran beef supply chain. the multivariate generalized autoregressive conditional heteroskedastic (mvgarch) model was used b...

An option is a nancial contract whose value depends on that of an underlying asset such as a company stock. The Black-Scholes model for option pricing, published in 1973, revolutionized the nancial industry by introducing a no-arbitrage paradigm for valuing uncertainty and hedging against risk. This simple model assumes that the underlying stock price follows a stochastic Brownian motion proces...

Regarding the fact that each country might be a net oil seller or net buyer, and considering its large share in the whole economy, the price of this commodity as well as its volatility could affect all economies around the world.  The impact of oil price volatility on the economy is seemed to be more dominant in Iran rather than any other developed or emerging economies, especially in recent ye...

The reload provision in an employee stock option entitles its holder to receive one new (reload) option from the employer for each share tendered as payment of strike upon the exercise of the stock option. The number of reloads allowed can be finite or infinite. The shout feature in a call option allows its holder to reset the option’s strike price to the prevailing stock price upon shouting. W...

This paper studies liquidity and volatility commonality in the Canadian stock market. We show that five various liquidity measures display strong evidence of commonality at both market-wide and industry specific levels. Our findings extend the results of previous studies in liquidity commonality, and show that even after controlling for individual determinants of liquidity such as price, volume...

A model for a set of stock prices is said to be convexity preserving if the price of any convex European claim is convex as a function of the underlying stock prices at all times prior to maturity. As is well-known, this property is intimately connected to certain monotonicity properties of the option price with respect to volatility and other parameters of the model. Generally speaking, if the...

We consider a Black-Scholes type model, but with volatility being a Markov Chain process. Assuming that the stock price is observed at discrete, possibly random times, the goal is to estimate the current volatility value. The model parameters, that is, the possible volatility values and transition probabilities, are estimated using the Multiscale Trend Analysis method of Zaliapin, Gabrielov and...

In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin convolution of functions defined on (0,∞) and use these formulas to characterize the asymptotic behavior of marginal distribution densities of stock price processes in mixed stochastic models. Special examples of mixed models are jump-diffusion models and stochastic volatility models with jumps. We apply our ...