The study of the characteristics risk and return has received great attention. Several studies in finance literature have tested whether default influences firms’ stock returns, but results are often conflicting. Previous research derives varying empirical because they refer to indicators samples from different equity markets. main objective this is evaluate effect on using data taken non-finan...

Mixed fractional Brownian motion (MFBM) is a linear combination of and an independent which may overcome the problem arbitrage, while jump process in time series another to be address modeling stock prices. This study models call warrants with MFBM includes its dynamics. The pricing formula for warrant mixed-fractional jump, obtained via quasi-conditional expectation risk-neutral valuation.

We derive a characterization of equilibrium controls in continuous-time, time-inconsistent control (TIC) problems using the Malliavin calculus. For this, classical duality analysis adjoint BSDEs is replaced with integration by parts. This results into necessary and sufficient maximum principle which applied to linear-quadratic TIC problem, recovering previous obtained mean-variance case, extend...

Apresenta-se neste artigo uma proposta de abordagem sócio-histórica da sociologia enquanto realidade institucional inspirada pela ciência mertoniana e bourdieusiana. Na primeira parte do artigo, são sistematizados colocados em comparação complementaridade os principais contributos Robert K. Merton Pierre Bourdieu para essa sociologia. segunda parte, é formulada geral agenda pesquisa equacionado...

prices as a function of volatility. If an option price is given by the market we can invert this relationship to get the implied volatility. If the model were perfect, this implied value would be the same for all option market prices, but reality shows this is not the case. Implied Black–Scholes volatilities strongly depend on the maturity and the strike of the European option under scrutiny. I...

This paper presents a review of the developments in the area of credit risk. Starting in 1974, Merton developed a pricing method for a bond facing default risk, which was mainly settled in the framework of Black and Scholes (1973). Certain attempts have been made to relax the assumptions, giving rise to a class of models called structural models. A second class, called hazard rate models, was f...

We infer the asset value dynamics of European firms during Russia–Ukraine war via structural model Merton (1974). Using high-frequency stock price data, we find that led to lower corporate security prices and higher volatility, eventually shifting values closer default region. On average, balance sheet is expected shrink by 2.05% their 1-year probability increase from 0.32% 2.12%. Regression an...