We analyze the implied volatility smile of a lognormal distribution on a on a 6 – month EUR/USD call currency option contract using the ratio of strike and share price. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not...

We analyze the implied volatility smile of a lognormal distribution on a on a 6 – month EUR/USD call currency option contract using a random standard normal variable. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not explain...

The multiplier effect of rise in incomes and employment is in equilibrium in a free market economy when total injections, (J), equal total withdrawals, (W). When injections do not equal withdrawals, then, there is disequilibrium in the economy. Withdrawals consist of net saving, net taxes and...

We analyze the implied volatility smile of a lognormal distribution on a 3 – month Danske bank call option contract using the option delta. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. The Black...

According to the IMF subject information, output gap for advanced economies and specifically Greece is calculated as the actual GDP less the potential GDP divided by the potential GDP and expressed as a percentage. Divergence or difference between actual and potential output is known as output...

In this article, we have applied an autoregressive moving average, ARMA(2,2) model of order AR(1), AR(2), MA(1), MA(2) and SMA(12) to test the natural logarithmic monthly market returns of the of the five stock call options contracts of well-known Swedish companies. The companies are Electrolux...

This article aims at testing empirically the major building blocks that affect the performance of equity market neutral hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. A market neutral strategy combines both long and short...

This article aims at testing empirically the major building blocks that affect the performance of long/short equity hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. The hedge fund primarily goal is to invest in long and short...