Improved stock market valuation using modified dividend-price ratio.
problem Stationary assumption failure in classical dividend-price ratio.
method Multivariate regressions, dynamic econometric procedure, modified dividend-price ratio (mdp).
result Enhanced forecasting results over classical dividend-price ratio.
Machine learning approximates implied volatility and dividend yield for American options.
problem Challenges in extracting implied information from American options due to computational costs.
method Employing a data-driven machine learning approach, specifically a Calibration Neural Network (CaNN), to estimate implied volatility and dividend yield efficiently.
result Machine learning can be used to estimate implied volatility and dividend yield for American options efficiently.
New asymptotic formula for option prices with interest rates and dividend yield effects.
problem Deriving option prices with interest rates and dividend yield effects in the local volatility model.
method Developed a new asymptotic limit for short-maturity option prices, including interest rates and dividend yield effects.
result Generalized the Berestycki-Busca-Florent formula to all orders in n for interest rates and dividend yield effects. We consider the binomial approximation of the American put price in the Black-Scholes model (with continuous dividend yield). Our main result is that the error of approximation is O((lnn)α/n) where n is the number of time periods and the exponent α is a positive number, the value of which may differ according …
The p-index improves investment performance for NYSE stocks but not for SSE stocks.
problem Improving investment performance for stocks using the p-index.
method Comparing different p-ratio strategies and empirical efficient frontiers for SSE and NYSE stocks.
result The p-index enhances investment performance for NYSE stocks but not for SSE stocks.
Financial contracts with options that allow the holder to extend the contract maturity by paying an additional fixed amount found many applications in finance. Closed-form solutions for the price of these options have appeared in the literature for the case when the contract underlying asset follows a geometric Brownia…
The incorporation of a dividend yield in the classical option pricing model of Black- Scholes results in a minor modification of the Black-Scholes formula, since the lognormal dynamic of the underlying asset is preserved. However, market makers prefer to work with cash dividends with fixed value instead of a dividend y…
Study on CEF discount in Bangladesh, finds size and maturity impact, turnover negative.
problem Exploring the discount puzzle in closed-end mutual funds in Bangladesh.
method Fixed effects panel regression with diagnostic tests.
result Fund size and maturity positively impact CEF discount, turnover negatively impacts.
Proposes a new method to rank risky investments based on Omega measure.
problem Evaluating and ranking risky investment projects.
method Introduces an investment certainty equivalence approach and uses the Omega measure.
result Proposed method ranks projects differently from conventional risk-adjusted discount rate (RADR) approach.
We develop a tractable model of realization utility that studies the role of reference-dependent S-shaped preferences in a dynamic investment setting with reinvestment. Our model generates both voluntarily realized gains and losses. It makes specific predictions about the volume of gains and losses, the holding periods…
The calibration of a local volatility models to a given set of option prices is a classical problem of mathematical finance. It was considered in multiple papers where various solutions were proposed. In this paper an extension of the approach proposed in LiptonSepp2011 is developed by i) replacing a piecewise constant…
Study of Anosov flows using microlocal analysis for ergodicity and mixing properties.
problem Ergodicity and mixing properties of Anosov flows and their isometric extensions.
method Microlocal analysis of Pollicott-Ruelle resonances to study isometric extensions of Anosov flows.
result Ergodicity of frame flow on negatively-curved Riemannian manifolds under specific curvature assumptions.
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which is consistent with nearly integrated regressors and applicable to multi-predictor…
New formulas for barrier options in stochastic volatility models with nonzero correlation.
problem Calculating barrier options prices in models with nonzero correlation.
method Derivation of two novel closed-form formulas: Hull and White type and Alòs-like decomposition.
result Closed-form formulas for barrier options in stochastic volatility models with nonzero correlation.
Develops BPDS for better financial portfolio decisions.
problem Model uncertainty in financial time series forecasting.
method Bayesian dynamic modelling and predictive decision synthesis.
result Improved predictive and decision outcomes compared to traditional Bayesian analysis.
Monetary risk measures are usually interpreted as the smallest amount of external capital that must be added to a financial position to make it acceptable. We propose a new concept: intrinsic risk measures and argue that this approach provides a direct path from unacceptable positions towards the acceptance set. Intrin…
Combines absolute and relative wealth in portfolio optimization with power utility functions.
problem Optimizing portfolios with both absolute and relative wealth considerations.
method Integrates power utility functions for absolute and relative wealth, considering multiple benchmarks.
result Obtains an explicit solution for portfolio optimization combining absolute and relative wealth.
Closed-form solution found for American put option boundary.
problem Finding the optimal exercise boundary for American put options.
method Three models of stock price dynamics with time-dependent parameters, leading to a closed-form solution for the exercise boundary.
result Explicit closed-form solution for the optimal exercise boundary of American put options.
This paper surveys options pricing under arithmetic Brownian motion and derives formulas for various types of options.
problem The use of arithmetic Brownian motion in finance is not widely adopted.
method Risk-neutral valuation and derivation of formulas for European options under three types of underlying assets.
result Derivation of formulas for European options and partial differential equations for American options.
Study develops sector rotation models using factor and fundamental analysis.
problem Understanding and predicting sector shifts in financial markets.
method Systematic sector classification, factor analysis, and fundamental metrics evaluation.
result Developed predictive models with notable predictive capabilities.
This paper examines the valuation of a generalized American-style option known as a Game-style call option in an infinite time horizon setting. The specifications of this contract allow the writer to terminate the call option at any point in time for a fixed penalty amount paid directly to the holder. Valuation of a pe…
Analytical approximations for Asian option sensitivities in Black-Scholes model.
problem Calculating sensitivities of Asian options in the Black-Scholes model.
method Small maturity/volatility approximation and large deviations theory.
result Good agreement with alternative numerical simulation results for practical cases.
Derives a dual equation for various option types, leading to new pricing and hedging insights.
problem Pricing and hedging of various option types.
method Derives a dual equation with the same form as the Black-Scholes-Merton equation, applicable to homogeneous degree one payoffs.
result Provides simple analytic formulas for delta and gamma, and reveals put-call equality for various options.
We study several aspects of the so-called low-vol and low-beta anomalies, some already documented (such as the universality of the effect over different geographical zones), others hitherto not clearly discussed in the literature. Our most significant message is that the low-vol anomaly is the result of two independent…
This paper uses basket option formulas to price vanilla options with discrete dividends.
problem Pricing vanilla options on stocks with discrete cash dividends.
method Uses existing basket option formulas for European options on a single asset with cash dividends in the piecewise lognormal model.
result Explains the use of basket option formulas for a specific problem in the piecewise lognormal model.
Asymptotic Laplace transform for geometric Brownian motion applied to bond pricing.
problem Laplace transform of geometric Brownian motion time integral.
method Asymptotic analysis for σ2To0 limit. result Approximation for zero coupon bond prices in Dothan model.
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price,…
Proposes a new model for stock and dividend derivatives pricing.
problem Pricing stock and dividend derivatives with positive stock prices and non-negative dividends.
method Jointly specifies dynamics for stock price and dividend rate, using mean-reverting dividend rate.
result Closed-form expressions for stock and dividend futures prices, accurate option approximations.
Ethereum's Pectra upgrade introduces 0x02 compounding validators, offering higher stake and potential APR uplifts.
problem Staking rewards on Ethereum
method Analyzing compounding effects on consensus-layer rewards
result 0x02 validators achieve modestly higher median CL APR
The paper develops a neural network model for SPX option pricing.
problem Developing an empirical model for SPX option pricing.
method Formulated and rigorously evaluated several statistical models including neural network, random forest, and linear regression.
result The neural network model outperforms other models and Black-Scholes-Merton model for SPX option pricing.
Automatically balances blockchain network resources to boost market efficiency.
problem Extractable value leakage and execution frictions in blockchain networks.
method Systematically uses idle network resources for arbitrage, incentivizing transactions.
result Reduces network inventory risk while enhancing price formation and liquidity.
We extend Dupire's formula for stochastic interest rates and local volatility.
problem Deriving formulas for stochastic interest rates and local volatility.
method Generalizations of Dupire's formula for stochastic drift and local volatility.
result Validated the limits of the generalized Dupire formulae for specific cases.
Paper proposes a novel trading strategy combining clustering and reinforcement learning for multi-period portfolio management.
problem Developing an effective trading strategy for multi-period portfolio management.
method The paper integrates clustering techniques with reinforcement learning to categorize and manage stocks across multiple trading periods.
result The proposed strategy outperforms conventional techniques in various metrics, achieving an average return of 151% over 360 trading periods.
Study shows how margin loan interest rates converge to a choke price, limiting long-term advantage in the broker call money market.
problem Long-term dynamics of margin loan interest rates and their impact on retail clients' advantage in the broker call money market.
method Analyzes the broker call money market dynamics, assuming perfect inelastic supply and continuous reinvestment, to show convergence of relative size and margin loan interest rates.
result Margin loan interest rates converge to a choke price, limiting the long-term advantage of retail clients over the market.
Reinforcement learning for optimizing retirement plans and target dated funds.
problem Optimizing financial goals through periodic investments and withdrawals.
method G-Learner and GIRL algorithms for goal-based wealth management.
result G-Learner provides a computationally tractable solution for wealth management tasks.