Concept
Options strategy
Related publications (93)
Fly-Swat or Cannon? Cost-Effective Language Model Choice via Meta-Modeling
Robert West, Maxime Jean Julien Peyrard, Marija Sakota
Generative language models (LMs) have become omnipresent across data science. For a wide variety of tasks, inputs can be phrased as natural language prompts for an LM, from whose output the solution can then be extracted. LM performance has consistently be ...
Assoc Computing Machinery2024How 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 ...
Hoboken2024Value 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 Neuroscience2024CO2 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 ...
2024Adapting 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 ...
2023Extension, validation, and optimization of Serpent/DYN3D/ATHLET code system for SFR applications
The sequence of codes Serpent/DYN3D has been developed by the Helmholtz-Zentrum Dresden-Rossendorf and successfully applied to core static and transient analyses of sodium-cooled fast reactors (SFRs). The successful application of the sequence to SFRs was ...
EPFL2023Dataset for the article "Frequency regulation with storage: On losses and profits"
Daniel Kuhn, François Richard Vuille, Dirk Lauinger
This dataset complements the article "Frequency regulation with storage: On losses and profits" by Dirk Lauinger, François Vuille, and Daniel Kuhn, available at https://arxiv.org/abs/2306.02987. The dataset contains the following files: 1.
Zenodo2023Exchange 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 LTD2023Illiquidity 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 INC2022Covariance Estimation for Random Surfaces beyond Separability
This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, andconsiderations of statistical and comp ...
EPFL2022