FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1662368045> ?p ?o ?g. }

• W1662368045 abstract "In principle, the Black-Scholes equation assumes log-normal underlying prices, butmarket dynamics do not empirically fit these assumptions, and the related scaleinvariance and continuity properties fail at shorter time spans. The aim of this study isto analyze how the pricing-hedging model may be adjusted when prices are assumed tohave discontinuous paths resulting in heavy tails distribution of returns. Numerically,the model seems to work for vanilla contracts but not for exotic options. Someexplanations and alternatives are therefore provided. Finally, a further interestingquestion arises from the results achieved: is it possible to smooth the smile effect?" @default.
• W1662368045 created "2016-06-24" @default.
• W1662368045 creator A5077860299 @default.
• W1662368045 date "2013-07-22" @default.
• W1662368045 modified "2023-10-17" @default.
• W1662368045 title "Hedging in a discontinuous market: the barrier option and the unlikely profit" @default.
• W1662368045 cites W1528593483 @default.
• W1662368045 cites W1668826802 @default.
• W1662368045 cites W1915679344 @default.
• W1662368045 cites W1916606380 @default.
• W1662368045 cites W1997753289 @default.
• W1662368045 cites W2007700189 @default.
• W1662368045 cites W2016543572 @default.
• W1662368045 cites W2048594534 @default.
• W1662368045 cites W2052920925 @default.
• W1662368045 cites W2064978316 @default.
• W1662368045 cites W2068761599 @default.
• W1662368045 cites W2074226225 @default.
• W1662368045 cites W2077536880 @default.
• W1662368045 cites W2077791698 @default.
• W1662368045 cites W2101665573 @default.
• W1662368045 cites W2105347469 @default.
• W1662368045 cites W2108557287 @default.
• W1662368045 cites W2111968257 @default.
• W1662368045 cites W2112293901 @default.
• W1662368045 cites W2112889352 @default.
• W1662368045 cites W2140712893 @default.
• W1662368045 cites W2142278738 @default.
• W1662368045 cites W2146612430 @default.
• W1662368045 cites W2148815810 @default.
• W1662368045 cites W2151065060 @default.
• W1662368045 cites W2156383862 @default.
• W1662368045 cites W2164608233 @default.
• W1662368045 cites W2167117533 @default.
• W1662368045 cites W2168954579 @default.
• W1662368045 cites W2221182214 @default.
• W1662368045 cites W3121579099 @default.
• W1662368045 cites W3122167020 @default.
• W1662368045 cites W3123323197 @default.
• W1662368045 cites W3124505453 @default.
• W1662368045 cites W3217038484 @default.
• W1662368045 cites W1990081136 @default.
• W1662368045 hasPublicationYear "2013" @default.
• W1662368045 type Work @default.
• W1662368045 sameAs 1662368045 @default.
• W1662368045 citedByCount "0" @default.
• W1662368045 crossrefType "dissertation" @default.
• W1662368045 hasAuthorship W1662368045A5077860299 @default.
• W1662368045 hasConcept C106159729 @default.
• W1662368045 hasConcept C121332964 @default.
• W1662368045 hasConcept C138060521 @default.
• W1662368045 hasConcept C144237770 @default.
• W1662368045 hasConcept C149782125 @default.
• W1662368045 hasConcept C162324750 @default.
• W1662368045 hasConcept C163128081 @default.
• W1662368045 hasConcept C175444787 @default.
• W1662368045 hasConcept C181622380 @default.
• W1662368045 hasConcept C194483076 @default.
• W1662368045 hasConcept C2776631005 @default.
• W1662368045 hasConcept C2778755073 @default.
• W1662368045 hasConcept C33923547 @default.
• W1662368045 hasConcept C62520636 @default.
• W1662368045 hasConcept C91602232 @default.
• W1662368045 hasConceptScore W1662368045C106159729 @default.
• W1662368045 hasConceptScore W1662368045C121332964 @default.
• W1662368045 hasConceptScore W1662368045C138060521 @default.
• W1662368045 hasConceptScore W1662368045C144237770 @default.
• W1662368045 hasConceptScore W1662368045C149782125 @default.
• W1662368045 hasConceptScore W1662368045C162324750 @default.
• W1662368045 hasConceptScore W1662368045C163128081 @default.
• W1662368045 hasConceptScore W1662368045C175444787 @default.
• W1662368045 hasConceptScore W1662368045C181622380 @default.
• W1662368045 hasConceptScore W1662368045C194483076 @default.
• W1662368045 hasConceptScore W1662368045C2776631005 @default.
• W1662368045 hasConceptScore W1662368045C2778755073 @default.
• W1662368045 hasConceptScore W1662368045C33923547 @default.
• W1662368045 hasConceptScore W1662368045C62520636 @default.
• W1662368045 hasConceptScore W1662368045C91602232 @default.
• W1662368045 hasLocation W16623680451 @default.
• W1662368045 hasOpenAccess W1662368045 @default.
• W1662368045 hasPrimaryLocation W16623680451 @default.
• W1662368045 hasRelatedWork W1501764495 @default.
• W1662368045 hasRelatedWork W1507529068 @default.
• W1662368045 hasRelatedWork W1549244526 @default.
• W1662368045 hasRelatedWork W1554036873 @default.
• W1662368045 hasRelatedWork W2017806634 @default.
• W1662368045 hasRelatedWork W2064330244 @default.
• W1662368045 hasRelatedWork W2114203845 @default.
• W1662368045 hasRelatedWork W2133672408 @default.
• W1662368045 hasRelatedWork W2137732862 @default.
• W1662368045 hasRelatedWork W2260927677 @default.
• W1662368045 hasRelatedWork W3105757505 @default.
• W1662368045 hasRelatedWork W3121456265 @default.
• W1662368045 hasRelatedWork W3122051969 @default.
• W1662368045 hasRelatedWork W3122894300 @default.
• W1662368045 hasRelatedWork W3123579305 @default.
• W1662368045 hasRelatedWork W3124446656 @default.
• W1662368045 hasRelatedWork W3125130297 @default.
• W1662368045 hasRelatedWork W3125777192 @default.
• W1662368045 hasRelatedWork W3125793402 @default.

• next