نتایج جستجو برای: Capacity option pricing
تعداد نتایج: 375219 فیلتر نتایج به سال:
By employing a randomisation procedure on the variance parameter of standard geometric Brownian motion (GBM) model, we construct new families analytically tractable asset pricing models. In particular, develop two explicit processes that are respectively referred to as randomised gamma (G) and inverse (IG) models, both characterised by shape scale parameter. Both models admit relatively simple ...
Abstract Based on a standard general equilibrium economy, we develop framework for pricing European options where the risk aversion parameter is state dependent, and aggregate wealth underlying asset have bivariate transformed-normal distribution. Our results show that volatility skewness of change slope kernel, that, as increases, (Black Scholes) implied shifts upwards but its shape remains sa...
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