264,846 research outputs found
Use of indigenous and improved crop management technologies in four villages located in the Ranga Reddy and Mahabubnagar Districts
No full textCall and put implied volatilities and the derivation of option implied trees
No full textStandard methodologies for the derivation of implied trees from option prices are based on the validity of the put-call parity. Muzzioli and Torricelli (2002) propose a methodology which accounts for PCP violations. Based on this latter approach the present paper advances in two main directions. First we propose a different methodology in order to imply the interval of artificial probabilities at each node of the tree. Secondly, we perform an empirical validation of the implied tree obtained, both in the sample and out of sample, by using DAX index options data set covering the period from January 4, 1999 to December 28, 2000. Numerical results are compared with one of the most used standard methodologies, i.e. Derman and Kani’s. The results suggest that the estimation proposed, by taking into account the informational content of both call and put prices, highly improves both the in-the-sample fitting and the out-of-sample performance.Binomial Method; Put-Call Parity; Choquet Pricing; Interval Tree.
Use of indigenous and improves soil and water conservation technologies in four villages located in the Ranga Reddy and Mahabubnagar Districts
No full textAn efficient segmentation method to price American Put options
No full textA segmentation strategy to price different groups of American standard Put options with different methods is presented and discussed. The method, which exploits the properties of the odd waves of the BI adjusted evaluations introduced by Gaudenzi and Pressacco, proves to be very efficient in particular, to price critical in the money options.American put plain vanilla options; tree evaluation methods; American quality; segmentation
The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market
No full textThe birth and success of index option markets have fostered empirical research on their efficiency. While most of the literature focuses on North American markets, studies on European markets are still limited. The aim of the present paper is to provide further evidence on a European market, the Italian index option market (MibO), by testing the validity of the most famous no-arbitrage relationship in the option markets: the Put-Call parity (PCP). The growth of the market, new facts (such as the transition to the Euro and new market rules) and the availability of a broader and better quality high frequency data set make our work different from the previous study on the same market by Cavallo and Mammola(2000). Our analysis highlights the role of frictions in the tests of the PCP and points at a substantial and increased efficiency of the Italian index option market.index options; market efficienc; put-call parity
Project interventions in dryland agriculture, the examples of the government of India/World Bank-supported Maheswaram project and of Aware's activities in Amangal mandal
No full textA profile of Ranga Reddy and Mahabubnagar: a drought risk assessment, agricultural and social change and the role of NGOs
No full textRegularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
No full textWe analyze the regularity of the optimal exercise boundary for the American Put option when the underlying asset pays a discrete dividend at a known time during the lifetime of the option. The ex-dividend asset price process is assumed to follow Black-Scholes dynamics and the dividend amount is a deterministic function of the ex-dividend asset price just before the dividend date. The solution to the associated optimal stopping problem can be characterised in terms of an optimal exercise boundary which, in contrast to the case when there are no dividends, may no longer be monotone. In this paper we prove that when the dividend function is positive and concave, then the boundary is non-increasing in a left-hand neighbourhood of , and tends to as time tends to with a speed that we can characterize. When the dividend function is linear in a neighbourhood of zero, then we show continuity of the exercise boundary and a high contact principle in the left-hand neighbourhood of . When it is globally linear, then right-continuity of the boundary and the high contact principle are proved to hold globally. Finally, we show how all the previous results can be extended to multiple dividend payment dates in that case.
put v; put back
No full textput v"You stupid fool, I had that put back for the Spring." [i.e.put by, put away; cp. _OED_ Put v. 1 V.40.g, _EDD_ PUT V�2. 8,_put back_, to thrust or hold back]i.e.put by, put awayDNE SupG. M. Story SEP. 18 1989Used I and SupUsed Sup3Used Su
- …
