Die Arbeit hat das Ziel, die ursprünglich rein kapitalmarkttheoretisch ausgelegte Optionspreistheorie für das … den Leitlinien der Optionspreistheorie folgen.Mit einer auf die 16 führenden Pharmaunternehmen bezogenen empirischen …

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying … Brownian motion. After substituting into the GBM the direct volatility estimator for the true, but unknown, value of the …

increasing in the volatility of demand they face, decreasing in the air premium they must pay, and increasing in the … firms with a real option to smooth demand volatility on international markets, and we provide simple calculations of that …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected … experience significant increase in both trading volume and return volatility. However, deleted stocks experience no significant … change in either trading volume or return volatility. Both daily and monthly return variances increase following index …

volatility dynamics and resulting factor hedging of barrier options. … resultierende Faktor-Hedging von Barrier Optionen gerichtet. …

Established in 1988, the Shingo Prize for Operational Excellence recognises organisations in the USA, Mexico and Canada …

effect). This study has practical implications for regulators, corporations and investors, both in the USA and abroad. …