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37 articles for “pricing xu”
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Research ArticleOpen accessEvery word in the titleStochastic Model for Pricing Normal Bonds when Maturity Periods Cross Over to Pandemic PeriodSulaiman Sani, Siphelele LushabaIn this study, Ito form for normal bonds trading where maturity periods cross over to COVID-19 pandemic period is presented. It is shown that normal bonds in this period experience path reversals respective to their canonical paths. The criterion used in arriving at this striking result is also presented. As a key recommendation, it is necessary that bondholders enact flexible … …Journal of Mathematics and Statistics, Vol. 19, Issue 1 · 6 May 2023 · 6,100 accessesView PDFCite
Research NotesOpen accessEvery word in the titleIndividualizing Periods of Commercial Exclusivity to Control Pricing for Drugs and BiologicsCallie M. Blase, Brandon K. Rouault, Maia B. Zoller et al.The pricing for immunologic agents and antibody-based therapeutics has increased precipitously in recent years. Among the key contributors to price hikes is the static practice of granting commercial exclusivity to innovator drugs and biologics. Herein, we present a mechanism for individualizing periods of commercial exclusivity to control pricing for drugs and biologics. …American Journal of Immunology, Vol. 15, Issue 1 · 13 Sep 2019 · 7,014 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleA Comparative Study on Barrier Option Pricing using Antithetic and Quasi Monte-Carlo SimulationsNneka Umeorah, Phillip MasheleMonte-Carlo simulations have been utilized greatly in the pricing of derivative securities. Over the years, several variance reduction techniques have been developed to curb the instability, as well as, increase the simulation efficiencies of the Monte-Carlo methods. Our approach in this research work will consider the use of antithetic variate techniques to estimate the fair prices of barrier options. Next, … …Journal of Mathematics and Statistics, Vol. 14, Issue 1 · 9 May 2018 · 8,798 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleNumerical Solution for 2D European Option Pricing Using Quarter-Sweep Modified Gauss-Seidel MethodKoh Wei Sin, Jumat Sulaiman, Rasid MailProblem statement: This study presents the numerical solution of two-dimensional European option pricing problem based on Quarter-Sweep Modified Gauss-Seidel (QSMGS) iterative method. In fact, the pricing of European option with two-underlying assets can be governed by two-dimensional Black-Scholes Partial Differential Equation (PDE). Approach: The PDE needs to be discretized by using full-, half- and quarter-sweep second-order Crank-Nicolson schemes to generate … …Journal of Mathematics and Statistics, Vol. 8, Issue 1 · 8 Feb 2012 · 7,777 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleMultivariate Option Pricing with Gaussian Mixture Distributions and Mixed CopulasJimbo Henri Claver, Tatanfack Emerson, Shu FelixRecently, it has been reported that the hypothesis proposed by the classical black scholes model to price multivariate options in finance were unrealistic, as such, several other methods have been introduced over the last decades including the copulas methods which uses copulas functions to model the dependence structure of underlying assets. However, the previous work did not take into account … …Journal of Mathematics and Statistics, Vol. 19, Issue 1 · 3 Apr 2023 · 6,518 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleEfficient Monte Carlo Algorithm Using Antithetic Variate and Brownian Bridge Techniques for Pricing the Barrier Options with Rebate PaymentsHasan AlzubaidiThe down-and-out call barrier option with rebate payment on dividend-paying stock is simulated using a new version of the Monte Carlo algorithm. The standard Monte Carlo method for simulating such an option suffers from two sources of errors: Hitting time error inherent from time stepping and the Monte Carlo statistical error. We present a modified version of Monte Carlo method … …Journal of Mathematics and Statistics, Vol. 12, Issue 1 · 22 Feb 2016 · 8,264 accessesView PDFCite
Research ArticleOpen accessIn the keywordsAnalyzing and Estimating Portfolio Performance of Bangladesh Stock MarketMd. Zobaer Hasan, Anton Abdulbasah Kamil, Adli Mustafa, Md. Azizul BatenCapital Asset Pricing Model (CAPM) is one of the most important developments in the finance literature. Simply, CAPM is a model that describes the relationship between risk and expected return. The theoretical validity of CAPM is well tested and accepted but the practical validity of CAPM is in questioned. This study is designed to analyze and estimate the portfolio performance … …American Journal of Applied Sciences, Vol. 10, Issue 2 · 6 Feb 2013 · 8,014 accessesView PDFCite
Research ArticleOpen accessIn the keywordsAn Approximate Formula of European Option for Fractional Stochastic Volatility Jump-Diffusion ModelP. Sattayatham, A. IntarasitProblem statement: We presented option pricing when the stock prices follows a jumpdiffusion model and their stochastic volatility follows a fractional stochastic volatility model. This proposed model exhibits the a memory of a stochastic volatility model that is not expressed in the classical stochastic volatility model. Approach: We introduce an approximated method to fractional stochastic volatility model perturbed by the … …Journal of Mathematics and Statistics, Vol. 7, Issue 3 · 27 Jul 2011 · 7,971 accessesView PDFCite
Research ArticleOpen accessIn the keywordsAnalyzing the Effects of Water and Agriculture Policy Strategies: An Iranian experienceReza Moghaddasi, Ali Bakhshi, Mahmood Daneshvar KakhkiProblem statement: Because of growing demand for water resources, increasing cost of supplying water and overdraft of underground waters, economists suggest water pricing policy to improve water allocation efficiency in Iran. While due to political risk, economic and cultural concerns, government tends to reject that advice. This study addressed questions of what policy alternatives to water pricing could be used … …American Journal of Agricultural and Biological Sciences, Vol. 4, Issue 3 · 30 Sep 2009 · 8,308 accessesView PDFCite
Research ArticleOpen accessIn the keywordsEconomical Investigation of ICECHP Using Gasohol-A Case Study for IranIman Baratian, Barat Ghobadian, Mohammad AmeriEnergy is one of the most important factors in strategic planning throughout the world and can be considered as a dominant driving force for the industry and world economy. Biofuels development and applications specially in the form of Combined Heat and Power using Internal Combustion Engine (ICECHP) is wide-spreading which is the subject matter of the present paper as its … …American Journal of Applied Sciences, Vol. 5, Issue 9 · 30 Sep 2008 · 6,918 accessesView PDFCite