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Yunkang Du and Zuoliang Xu
In this paper, we recover the European option volatility function σ(t)" role="presentation">??(??)s(t)
s
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of the underlying asset and the fractional order α" role="presentation" style="position: relative;">??a
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of the time fra...
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Vasily Kupriyanovsky,Alexander Klimov,Oleg Pokusaev,Dmitry Namiot,Dmitry Katzin
Pág. 89 - 104
This article focuses on the physical Internet. In the field of transport, ?Physical Internet? means a combination of digital transport networks that are being deployed to replace analog road networks. Architecturally (digital) the Internet does not trans...
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Steven Lifland
Pág. 15 - 25
In comparative project valuations, there is an assumption of equality of risk across investments. Two commercial metro office buildlings are valued according to both a European and American Put Option, broadening the number of acceptable actions for inve...
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Steven Lifland
Pág. 15 - 25
In comparative project valuations, there is an assumption of equality of risk across investments. Two commercial metro office buildlings are valued according to both a European and American Put Option, broadening the number of acceptable actions for inve...
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José Ferreira Marinho Junior,Mauro Antonio Rincon
Pág. pp. 169 - 179
In this article, a numerical method is developed to determine the value of a put, based in the solution of Black and Scholes (1973) for European option and on Richardson extrapolation that calculates the limit of an options sequence, whose time intervals...
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Michael Glotz-Richter
Pág. 1296 - 1304
Sustainable Urban Mobility Plans (SUMPs) are a core element of the European Commission's Urban Mobility Package. A bundle of measures combines infrastructure; clean fuels and vehicles; and soft measures to promote walking, cycling and public transport us...
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Thomas Mazzoni
A new method for pricing contingent claims based on an asymptotic expansion of the dynamics of the pricing density is introduced. The expansion is conducted in a preferred coordinate frame, in which the pricing density looks stationary. The resulting asy...
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Wolfgang Grimme
The aviation industry is challenged to reduce its climate impact. The introduction of sustainable aviation fuels (SAF) is, among other policy instruments such as the European Emissions Trading Scheme, an option favored by policymakers in Europe to achiev...
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Jaime Sieres, Ignacio Ortega, Fernando Cerdeira, Estrella Álvarez and José M. Santos
The seasonal performance of a heat pump indicates its average performance during the heating and/or cooling season, taking into account the different energy demands and their variability over time. Several European and international regulations and polic...
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Kyung Jin Choi, Byungkwon Lim and Jaehwan Park
This study explored the option value embedded in a reverse mortgage in Korea through an empirical analysis, using the Black?Scholes option-pricing model. The value of a reverse mortgage is affected by the variation in house prices. However, older homeown...
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Winter Sinkala and Tembinkosi F. Nkalashe
Two equations are considered in this paper?the Black?Scholes equation and an equation that models the spatial dynamics of a brain tumor under some treatment regime. We shall call the latter equation the tumor equation. The Black?Scholes and tumor equatio...
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Gordana Jevdovic,Ivan Milenkovic
Pág. 125 - 133
The conventional macroeconomic paradigm is that monetary policy provides the nominal anchor for inflation expectations and that fiscal policy is disciplined in implementing credible and timely revenue-expenditure measures when debt rises, in order to ens...
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Estelle Malavolti, Frédéric Marty
Pág. 30 - 40
A lot of cases had arouse in the past decade about agreements between regional airports and low-cost carriers. These agreements are challenged on the basis of the State Aids European control as they rise concerns not only about competition distortions be...
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Konstantinos C
Pág. 1 - 14
In this paper we look into the causes of Greece?s financial derailment and the factors which contributed to its acceleration. We also investigate whether there were any alternatives to the course of action the Greek political class was forced to take in ...
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Özge Sezgin Alp
Pág. 70 - 84
In this study, the option pricing performance of the adjusted Black-Scholes model proposed by Corrado and Su (1996) and corrected by Brown and Robinson (2002), is investigated and compared with original Black Scholes pricing model for the Turkish derivat...
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Nikola Gradojevic, Dragan Kukolj, Ramazan Gencay
Pág. 109 - 128
This paper reviews the recent option pricing literature and investigates how clustering and classification can assist option pricing models. Specifically, we consider non-parametric modular neural network (MNN) models to price the S&P-500 European call o...
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Marcelo Nóbrega da Costa,Joe Akira Yoshino
Pág. pp. 23 - 46
Despite the relatively recent advance in the derivative industry, the European FX option market uses simple models such as Black (1976) or Garman and Kohlhagen (1983). This widespread practice hides very important quantitative effects that could be bette...
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Mario Santucci, Marco Pieve, Marco Pierini
Pág. 3651 - 3660
The demand of personal mobility in EU cities is increasing the use of motor vehicles; consequentially, gas emissions, noise levels and traffic jams increase, affecting quality of life of city-dwellers. To tackle such problems, European-wide emission targ...
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Jirí Majer, Nikola Vavrínová, Katerina Stejskalová and Lenka Pentková
The external walls of buildings account for a substantial part of the financial costs of the entire construction, and there can be a loss of up to 35% of thermal energy through them. By properly optimizing the price for the construction of m2 of the exte...
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Fernando Illán-Gómez, José Ramón García-Cascales, Francisco Javier Sánchez-Velasco and Ramón A. Otón-Martínez
In this work we analyze numerically different design configurations to be used in a R1234yf DMS cycle coupled with a water source, transcritical CO2 heat pump for heating applications in the building sector. Specifically, we study the temperature range p...
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