نتایج جستجو برای Capacity option pricing

تعداد نتایج: 250632  

2001
Dohyun Pak, Sarah M. Ryan,

Uncertain demand combined with a positive lead time for adding capacity creates the risk of capacity shortage during the lead time. Accurate shortage estimation is very important to determine a capacity expansion policy. In this paper, we investigate four kinds of option pricing methods to estimate the shortage during a fixed lead time under the assumption of an exponential trend for demand gro...

2011
Anna Belova, Tamara Shmidt, Matthias Ehrhardt, Ljudmila A. Bordag, Mikhail Babich,

A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. The option prices are modeled by the Black-Scholes equation. The θ-method is used to discretize the equation ...

Journal: :تحقیقات مالی 0
دکتر غلامرضا اسلامی بیدگلی, حسین سرافراز اردکانی,

this paper is a translation of a chapter of the hook written by jonathan e. ingersoll jr. the farsi translation will he of great help to iranian students studying option pricing models.

2005
Szymon Borak, Kai Detlefsen, Wolfgang Härdle,

2004
FARSHID JAMSHIDIAN,

Part I proposes a numeraire-invariant option pricing framework. It defines an option, its price process, and such notions as option indistinguishability and equivalence, domination, payoff process, trigger option, and semipositive option. It develops some of their basic properties, including price transitivity law, indistinguishability results, convergence results, and, in relation to nonnegati...

2003
Artur Sepp, Igor Skachkov,

The double barrier option is characterized by pay-off with strike K, maturity T, upper Su and lower Sd barrier levels and the corresponding rebates φu and φd which can be time dependent. We divide last four quantities by strike K and introduce new variables x = ln(S/K), xu = ln(Su/K), xd = ln(Sd/K). The value of European double barrier call option U(t, x) satisfies the extended Black-Scholes eq...

2005
Szymon Borak, Kai Detlefsen, Wolfgang Härdle,

2009
Niklas Westermark,

This thesis examines the performance of five option pricing models with respect to the pricing of barrier options. The models include the Black-Scholes model and four stochastic volatility models ranging from the single-factor stochastic volatility model first proposed by Heston (1993) to a multi-factor stochastic volatility model with jumps in the spot price process. The stochastic volatility ...

In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.

In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...

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