Keywords: ارزیابی گزینه; Pricing; Option valuation; Artificial neural networks; Stochastic volatility; Jump risk;
مقالات ISI ارزیابی گزینه (ترجمه نشده)
مقالات زیر هنوز به فارسی ترجمه نشده اند.
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Keywords: ارزیابی گزینه; Executive stock options; Executive turnover; Early exercise; Executive compensation; Option valuation; C15; G30; M52;
Keywords: ارزیابی گزینه; G13; Option valuation; Self-exciting threshold model; Generalized Esscher transform; Piecewise linear partial differential equation; Quadratic approximation;
Keywords: ارزیابی گزینه; NGARCH; EGARCH and GJR models; Non-normal innovation; Option valuation; Risk neutralized measure; Volatility skew;
Keywords: ارزیابی گزینه; G12; G13; Variance risk; Option valuation; Risk-neutral density; Stochastic volatility;
Numerical approximation of a time-fractional Black-Scholes equation
Keywords: ارزیابی گزینه; Option valuation; Black-Scholes equation; Fractional differential equation; Singularity; Adapted mesh;
An empirical model comparison for valuing crack spread options
Keywords: ارزیابی گزینه; Crack spread options; Option valuation; Cointegrated underlyings; G13; C50; Q40;
Estimating and using GARCH models with VIX data for option valuation
Keywords: ارزیابی گزینه; Option valuation; VIX; GARCH; Estimation;
Hermite polynomial based expansion of European option prices
Keywords: ارزیابی گزینه; G12; C51; Option valuation; Closed-form expansion; Mean-reversion; Self-exciting jumps; Double exponential jumps;
Lévy jump risk: Evidence from options and returns
Keywords: ارزیابی گزینه; C22; C23; C46; G01; G12Lévy process; Discrete-time; GARCH; Option valuation; Risk premium
A closed-form approximation for the fractional Black–Scholes model with transaction costs
Keywords: ارزیابی گزینه; Fractional Brownian motion; Fractional Black–Scholes model; Transaction costs; Option valuation
Option valuation by a self-exciting threshold binomial model
Keywords: ارزیابی گزینه; Option valuation; Threshold principle; Self-exciting; Binomial models; Trinomial extensions; Regime switching
A robust and accurate finite difference method for a generalized Black–Scholes equation
Keywords: ارزیابی گزینه; 65M06; 65M12; 65M50Black–Scholes equation; Option valuation; Singularity; Central difference scheme; Piecewise uniform mesh
Estimating the option value of a non-firm electricity tariff
Keywords: ارزیابی گزینه; Demand response; Electricity economics; Option valuation
Option valuation based on the neural regression model
Keywords: ارزیابی گزینه; Option valuation; Neural network; Regression; Hedging; Black–Scholes
Flexibility as a source of value in the production of alternative fuels: The ethanol case
Keywords: ارزیابی گزینه; C61; D81; O14; O33; Q42; Commodity price models; Option valuation; Renewable fuels;
A game theoretic approach to option valuation under Markovian regime-switching models
Keywords: ارزیابی گزینه; C73; G13; G11; IM10; IM50; IE11; IE50; Option valuation; Regime switching; Stochastic differential game; Esscher transform; Jump-diffusion model; Power utility;
Sequential calibration of options
Keywords: ارزیابی گزینه; Non-linear Kalman filters; Calibration; Option valuation
Option value of electricity demand response
Keywords: ارزیابی گزینه; Demand response; Option valuation; Dynamic pricing; Load management; Customer valuation methods
Extending quadrature methods to value multi-asset and complex path dependent options
Keywords: ارزیابی گزینه; G13; C63Quadrature; Option valuation; Numerical techniques; Barrier options; Lookback options