We extract an option-implied measure for systemic risk, the Systemic Options Value-at-Risk (SOVaR), from put option prices that can capture buildup stage of risk in financial sector earlier than standard measures (SRMs). Our exhibits more timely early warning signals main events around global crisis SRMs. SOVaR shows significant predictive power macroeconomic downturns as well future recessions...

Personalized heart muscle cells made from stem cells in the laboratory could be used to check an individual's response to potential new drugs before clinical trials.

In this article, we deal European style option, with arbitrary payoff which includes both put and call options, on an asset whose price evolves as It?-McKean skew Brownian motion Azzalini skew-normal distribution. Initially, investigate a condition leads the to be martingale. Next, option show that if function is convex then so function. After this, finite satisfies partial differential equatio...

Option trading forms part of our financial markets. A traded option gives to its owner the right to buy (call option) or to sell (put option) a fixed quantity of assets of a specified stock at a fixed price (exercise or strike price). There are two major types of traded options. One is the American option that can be exercised at any time prior to its expiry date, and the other option, which ca...

This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...

Given the quote price of a call or put option, the Black-Scholes implied volatility is the unique volatility parameter to be put into Black-Scholes formula to give the same price as the option quote price. This dissertation is concerned with the link between the implied volatility and the actual volatility of the underlying stock. Such a link is of particular practical interest since it relates...