In this paper the validity of the Black/Scholes and Barone-Adesi/Whaley option pricing model is related to a wide …

Analysis of the difference between the lowest and second lowest bids, or bid-spread, in a ‘lowest wins’ auction is of … security; and a means of providing some insight into the consequences of non-traditional auction arrangements. Bid-spread …, the percentage bid-spread is consistent with the assumption that bids are entirely random, being drawn from a lognormal …

earlier article, spread is potentially a promising way to measure risk in real time as perceived collectively by competing …, but it nets out the change in price from open to close, and thus gives an accurate view of the true spread over the course …

This paper assesses whether the market valuation of gold mining firms contain a premium for the option to close. Tests … paper assesses the relevancy of the option to close for mining firm valuation. This is achieved by examining 41 Australian … degree of association between the actual (market determined) and theoretical option premiums on the basis of the overall …

utility, futures, option, risk management, value at risk. …

Grenzen. Für eine vereinfachte Modellierung des Kraftwerks als Swing Option mit Mehrfachausübung auf derselben Stufe bestimmen … Preisband innerhalb dessen ein beobachteter Preis zur Ausübung eines Swing-Rechts führt. Für den Fall der amerikanischen Option … Lieferung durch gezielten Verkauf einer Swing Option. Wir stellen eine Heuristik basierend auf unserem synthetischen Spot Delta …