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- ...line industry in the 1980s, and has since spread to many other sectors and pricing contexts, including yield management in other travel industry sectors, medi ...y of ways, from strategic advice on pricing on defining segments for which pricing strategies may vary, to [[Enterprise software|enterprise-class software app ...15 KB (2,234 words) - 05:44, 1 July 2024
- ...ethod''' is a mathematical tool used in [[finance]]. It is a technique for pricing first-generation [[exotic option]]s in [[foreign exchange market]] [[Foreig {{DEFAULTSORT:Vanna-Volga pricing}} ...11 KB (1,737 words) - 09:11, 19 March 2024
- '''Bayesian-optimal pricing''' (BO pricing) is a kind of [[algorithmic pricing]] in which a seller determines the sell-prices based on probabilistic assum ...th>w</math> is the [[virtual valuation]] of the agent. So in this case, BO pricing is equivalent to the [[Bayesian-optimal mechanism]], which is an auction wi ...18 KB (2,825 words) - 11:27, 9 December 2024
- A '''consistent pricing process (CPP)''' is any representation of ([[frictionless market|frictionle ...first=Walter|date=November 15, 2002|title=The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time}}</ref><ref>{{ ...2 KB (312 words) - 20:30, 28 July 2023
- ...al Asset Pricing Approach''' (TAPA) is a general reconstruction of [[asset pricing]] theory developed in 2000s by a collaboration of Russian and Israeli econo ...from developing a [[#Dual-rate asset pricing model in TAPA|dual rate asset pricing model]], which is complemented by a deductive-style multi-period discount r ...15 KB (2,234 words) - 13:40, 28 July 2024
- ...e difference method]]s were first applied to [[Valuation of options|option pricing]] by [[Eduardo Schwartz]] in 1977.<ref name="Schwartz">{{cite journal |last ...://www.goddardconsulting.ca/option-pricing-finite-diff-index.html ''Option Pricing – Finite Difference Methods'']</ref> The approach arises since the evoluti ...8 KB (1,208 words) - 20:40, 14 January 2025
Page text matches
- ==Valuation and pricing== The Brazilian swap has only one payment which occurs at maturity and pricing is done using the CDI rate. ...2 KB (247 words) - 17:08, 31 May 2020
- ...famous analysis of the validity of empirical tests of the [[capital asset pricing model]] (CAPM) by [[Richard Roll]]. It concerns methods to formally test th ...utology argument applies to the [[arbitrage pricing theory]] and all asset-pricing models of the form ...4 KB (590 words) - 00:02, 18 March 2024
- ...|year=2010}}</ref> This definition is of fundamental importance in [[asset pricing]]. ...in an [[integral transform]].<ref name="Cochrane">{{cite book|title=Asset Pricing|author=Cochrane, John H.|publisher=Princeton University Press|year=2001|pag ...3 KB (531 words) - 19:10, 1 November 2024
- ==Pricing and valuation== ...2 KB (318 words) - 09:15, 19 March 2024
- A '''consistent pricing process (CPP)''' is any representation of ([[frictionless market|frictionle ...first=Walter|date=November 15, 2002|title=The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time}}</ref><ref>{{ ...2 KB (312 words) - 20:30, 28 July 2023
- ...and Piotr Karasinski the model was implemented using a [[Binomial options pricing model|binomial tree]] with variable spacing, but a [[trinomial tree]] imple ...ivatives|usually trees]]) are used in the calibration stage as well as for pricing. It can also be used in modeling [[credit default risk]], where the Black–K ...4 KB (583 words) - 13:24, 19 February 2025
- '''Jamshidian's trick''' is a technique for one-factor [[Asset pricing|asset price models]], which re-expresses an [[Option (finance)|option]] on *Jamshidian, F. (1989). "An exact bond option pricing formula," [[Journal of Finance]], Vol 44, pp 205-209 ...2 KB (276 words) - 20:36, 24 March 2021
- ...{{cite journal|doi=10.1080/15326349808807493 | volume=14 | issue=3 | title=Pricing of european options when the underlying stock price follows a linear birth– ...Price Option (or short [[LEPO]]). The mathematical proof of arbitrage free pricing is based on [[Martingale representation theorem|martingale representations] ...3 KB (486 words) - 13:47, 9 April 2024
- ...hematics]], sigma-martingales appear in the [[fundamental theorem of asset pricing]] as an equivalent condition to [[no free lunch with vanishing risk]] (a no ...fundamental theorem">{{cite journal|title=The Fundamental Theorem of Asset Pricing for Unbounded Stochastic Processes|author1=F. Delbaen|author2=W. Schacherma ...2 KB (221 words) - 04:41, 13 March 2024
- ...raded options, and these differences have important implications for the [[pricing]] of LEPO. ==Pricing of Low Exercise Price Options== ...4 KB (553 words) - 23:32, 4 July 2024
- ...o (with optimal trading otherwise). Typically the indifference price is a pricing range (a [[bid–ask spread]]) for a specific agent; this price range is an e ...math>.<ref name=C09>{{cite book|first=Rene|last=Carmona|title=Indifference Pricing: Theory and Applications|publisher=Princeton University Press|year=2009|isb ...4 KB (743 words) - 16:30, 31 March 2021
- ...difference methods for option pricing|finite difference method for option pricing]].<ref>[https://web.archive.org/web/20070622150346/http://www.in-the-money. ...c.uk/fac/sci/maths/people/staff/oleg_zaboronski/fm/trinomial_tree_2008.pdf Pricing Options Using Trinomial Trees]</ref> (and with increasing accuracy for smal ...7 KB (1,003 words) - 20:22, 16 December 2024
- ...NFLVR-condition. This is known as the first [[fundamental theorem of asset pricing]]. ==Fundamental theorem of asset pricing== ...4 KB (595 words) - 22:36, 2 December 2023
- ...igher limits of coverage. They are commonly used in [[casualty insurance]] pricing.<ref name=irmi>{{citation|url=https://www.irmi.com/online/insurance-glossar ...sai/ACMA490/Wang_Ratemaking_1995.pdf|first=Shaun|last=Wang|title=Insurance pricing and increased limits ratemaking by proportional hazards transforms|page=43, ...5 KB (790 words) - 22:15, 5 February 2024
- ...e difference method]]s were first applied to [[Valuation of options|option pricing]] by [[Eduardo Schwartz]] in 1977.<ref name="Schwartz">{{cite journal |last ...://www.goddardconsulting.ca/option-pricing-finite-diff-index.html ''Option Pricing – Finite Difference Methods'']</ref> The approach arises since the evoluti ...8 KB (1,208 words) - 20:40, 14 January 2025
- ...No. 1, (March 1978), pp. 177-186.</ref> is an [[option (finance)|option]] pricing formula applicable to an option to exchange one risky asset for another ris *Under this change of numeraire pricing, the second asset is now a riskless asset and its dividend rate ''q<sub>2</ ...5 KB (805 words) - 06:54, 26 June 2024
- == Human capital and the Capital Asset Pricing Model== ...ssures security prices and thus causes deviations from the [[Capital Asset Pricing Model]] (CAPM).<ref>Bodie, Z., Kane, A. and Marcus, A. J., 2014. Investment ...8 KB (1,289 words) - 22:56, 15 February 2024
- ...derivative of output price with respect to an input price. In [[derivative pricing]], this is referred to as [[Gamma (finance)|Gamma]] (Γ), one of the [[Greek The convexity can be used to interpret derivative pricing: mathematically, convexity is optionality – the price of an option (the val ...6 KB (861 words) - 16:12, 6 January 2025
- ...]] and is an implementation of [[capital asset pricing model|capital asset pricing]] under loss aversion. *[[Capital asset pricing model]] ...5 KB (686 words) - 09:37, 15 August 2024
- A '''markup rule''' is the pricing practice of a producer with [[market power]], where a firm charges a fixed [[Category:Pricing]] ...3 KB (501 words) - 08:21, 23 March 2021