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Pricing quanto forward and European options 定量远期和欧洲期权的定价
Mathematical and Statistical Economics Pub Date : 1900-01-01 DOI: 10.12988/mse.2020.986
P. Stiefenhofer, S. Kumar, A. Gregoriou
{"title":"Pricing quanto forward and European options","authors":"P. Stiefenhofer, S. Kumar, A. Gregoriou","doi":"10.12988/mse.2020.986","DOIUrl":"https://doi.org/10.12988/mse.2020.986","url":null,"abstract":"In this paper, using Black-Scholes assumptions, we derive an analytical closed form solution for the pricing of a quanto forward and option contract. We use techniques of stochastic calculus and continuous time in order to establish a closed form solution for a quanto forward and option.","PeriodicalId":145079,"journal":{"name":"Mathematical and Statistical Economics","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130835142","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An empirical study on the influencing factors of college students' internet borrowing willingness 大学生网络借贷意愿影响因素的实证研究
Mathematical and Statistical Economics Pub Date : 1900-01-01 DOI: 10.12988/mse.2019.972
Jian Chen, Da-Shen Xue, Chun Ke, Weibin Lin, Jianxuan Wu, Sixing Lin, Jin Zeng
{"title":"An empirical study on the influencing factors of college students' internet borrowing willingness","authors":"Jian Chen, Da-Shen Xue, Chun Ke, Weibin Lin, Jianxuan Wu, Sixing Lin, Jin Zeng","doi":"10.12988/mse.2019.972","DOIUrl":"https://doi.org/10.12988/mse.2019.972","url":null,"abstract":"In recent years, the problem of online loans, such as the phenomenon of naked loans, has been widely concerned. Based on the survey data of 500 college students, this paper uses the probit regression model to empirically study the influencing factors of college students' online loan willingness. The study found 1 Corresponding author","PeriodicalId":145079,"journal":{"name":"Mathematical and Statistical Economics","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114148633","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Are 1920s economic fluctuations driven by demand or supply: a case study of India using forecast error variance decomposition in vector autoregressive model 20世纪20年代的经济波动是由需求还是供给驱动的:以印度为例，在矢量自回归模型中使用预测误差方差分解
Mathematical and Statistical Economics Pub Date : 1900-01-01 DOI: 10.12988/mse.2022.1023
Lingkai Kong, Yunxin Chang
{"title":"Are 1920s economic fluctuations driven by demand or supply: a case study of India using forecast error variance decomposition in vector autoregressive model","authors":"Lingkai Kong, Yunxin Chang","doi":"10.12988/mse.2022.1023","DOIUrl":"https://doi.org/10.12988/mse.2022.1023","url":null,"abstract":"Forecast error variance decomposition in the vector autoregressive model is used to investigate whether the supply shock or the demand shock was the primary factor that drove changes in the global economy throughout the 1920s. It is found that supply shocks are the primary factor in determining how much cotton fabric is produced in India, whereas changes in the cost of living for people are mostly the result of demand shocks.","PeriodicalId":145079,"journal":{"name":"Mathematical and Statistical Economics","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121379011","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Pricing variance swaps with stochastic volatility 定价方差与随机波动互换
Mathematical and Statistical Economics Pub Date : 1900-01-01 DOI: 10.12988/mse.2020.975
P. Stiefenhofer, Z. Fu, A. Gregoriou
{"title":"Pricing variance swaps with stochastic volatility","authors":"P. Stiefenhofer, Z. Fu, A. Gregoriou","doi":"10.12988/mse.2020.975","DOIUrl":"https://doi.org/10.12988/mse.2020.975","url":null,"abstract":"Abstract In this paper we present an efficient approach to price variance swaps with continuous time. We also obtain a closed form exact solution based on the Heston stochastic volatility model. This is accomplished by deriving an explicit valuation method using risk-neutral probability. We solve for the price of the simple variance swap in an ordinary differential equation assuming no arbitrage. In addition, we develop a partial differential equation under the assumption that the price function of the underlying assets have second order smooth partial derivatives. JEL: G12","PeriodicalId":145079,"journal":{"name":"Mathematical and Statistical Economics","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130106062","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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