Filtry
Applications of Hilfer-Prabhakar operator to option pricing financial model
In this paper, we focus on option pricing models based on time-fractional diffusion with generalized Hilfer-Prabhakar derivative. It is demonstrated how the option is priced for fractional cases of European vanilla...
Statistics and probability
- 2020 •
- Jimp •
- Odkaz
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Applications of Hilfer-Prabhakar operator to option pricing financial models
In this paper, we focus on option pricing models based on time-fractional diffusion with generalized Hilfer-Prabhakar derivative. It is demonstrated how the option is priced for fractional cases of European vanilla...
Applied mathematics
- 2020 •
- Jimp •
- Odkaz
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Covariance structure of European option prices
The time of the trade is used to derive a simple model for the covariance structure of the observed option prices.
BB - Aplikovaná statistika, operační výzkum
- 2005 •
- D
Rok uplatnění
D - Stať ve sborníku
Application of diffusion and econometric models for daily electricity price modelling at the European electricity market
This paper is focused on the possibilities of electricity modelling at deregulated European electricity market. First, characteristics of electricity price behaviour are described. Next, models frequently used for ...
AH - Ekonomie
- 2007 •
- D
Rok uplatnění
D - Stať ve sborníku
Review of Applying European Option Pricing Models
An option is a derivative financial instrument that establishes a contract between two parities concerning the buying or selling of an asset at a reference price. The price of an option derives from the difference between the refere...
Finance
- 2017 •
- D •
- Odkaz
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Modelling of the day-ahead electricity prices in the european and U.S. markets
This paper is focused on the possibilities of electricity modelling at deregulated European and U.S. electricity market. First, characteristics of electricity price behaviour are described. Next, models frequently ...
AH - Ekonomie
- 2007 •
- D
Rok uplatnění
D - Stať ve sborníku
Modelling of the day-ahead electricity prices in the European and U.S. markets
This paper is focused on the possibilities of electricity modelling at deregulated European and U.S. electricity market. First, characteristics of electricity price behaviour are described. Next, models frequently ...
AH - Ekonomie
- 2007 •
- D
Rok uplatnění
D - Stať ve sborníku
Simple formulas for pricing and hedging european options in the finite moment log-stable model
We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative fea...
Statistics and probability
- 2019 •
- JSC •
- Odkaz
Rok uplatnění
JSC - Článek v periodiku v databázi SCOPUS
Výsledek na webu
Future Development of Sugar Market in the European Union in the Period 2023–2032
and its price on the European Union market. The results of the econometric model show. Furthermore, the model implies that the price of sugar is determined by the sugar price for the calculation ...
Applied Economics, Econometrics
- 2023 •
- Jimp •
- Odkaz
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
The price level convergence of the Czech Republic towards the European Union based on the Balassa Samuelson effect
Basic themes of document: Price convergence; Tradables; Nontradables; Balassa Samuelson model; Productivity differentials...
AH - Ekonomie
- 2007 •
- D
Rok uplatnění
D - Stať ve sborníku
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