Concept
Option style
Related publications (125)
Value Estimation versus Effort Mobilization: A General Dissociation between Ventromedial and Dorsomedial Prefrontal Cortex
Deciding on a course of action requires both an accurate estimation of option values and the right amount of effort invested in deliberation to reach suf fi cient con fi dence in the fi nal choice. In a previous study, we have provided evidence, across a s ...
Soc Neuroscience2024How Integrated are Credit and Equity Markets? Evidence from Index Options
Pierre Collin Dufresne, Jan Benjamin Junge
We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...
Hoboken2024CO2 Capture and Management Strategies for Decarbonizing Secondary Aluminium Production
François Maréchal, Daniel Alexander Florez Orrego, Meire Ellen Gorete Ribeiro Domingos, Réginald Germanier
The production of aluminium largely depends on the use of fossil fuels, resulting in the emission of significant amounts of greenhouse gases. As the aluminium industry is working towards decreasing its environmental burdens, the elimination of direct emiss ...
2024Takeover Protections and Asset Prices
We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...
Catonsville2024Exchange options with stochastic liquidity risk
In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...
PERGAMON-ELSEVIER SCIENCE LTD2023Closed form approximation methods for portfolio valuation and risk management
In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and EP ...
EPFL2023Adapting Haptic Feedback for Guided Meditation
Cédric Duchene, Nicolas Henchoz, Emily Clare Groves, Romain Simon Collaud, Andreas Sonderegger, Yoann Pierre Douillet
Technology supporting meditation is a multimillion-dollar market that continues to grow. There is also strong academic interest to understand and improve the impact technology can have for the user experience of practitioners. However, little work investig ...
2023A new chapter of healthy indoor air: antiviral air treatments
Aerosol transmission remains a major challenge for the control of respiratory viruses. To date, prevention strategies include masks, vaccinations, physical distancing, travel restrictions, and lockdowns. Such measures are effective but come with heavy soci ...
Hoboken2023Illiquidity and Higher Cumulants
Semyon Malamud, Alberto Mokak Teguia
We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...
OXFORD UNIV PRESS INC2022Skew-Brownian motion and pricing European exchange options br
This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...
ELSEVIER SCIENCE INC2022