Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps
Sign Up to like & getrecommendations! Published in 2019 at "International Journal of Computer Mathematics"
DOI: 10.1080/00207160.2018.1542135
Abstract: ABSTRACT Option pricing models generally require the assumption that stock prices are described by continuous-time stochastic processes. Although the time-continuous trading is easy to conceive theoretically, it is practically impossible to execute in real markets.… read more here.
Keywords: hedging strategy; black scholes; time; realistic hedging ... See more keywords
Bayesian Inference for Optimal Risk Hedging Strategy Using Put Options With Stock Liquidity
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DOI: 10.1109/access.2019.2946260
Abstract: This paper considers the problem of hedging the risk exposure to imperfectly liquid stock by investing in put options. In an incomplete market, we firstly obtain a closed-form pricing formula of the European put option… read more here.
Keywords: risk hedging; risk; hedging strategy; liquidity ... See more keywords
Serotoninergic Modulation of Phototactic Variability Underpins a Bet-Hedging Strategy in Drosophila melanogaster
Sign Up to like & getrecommendations! Published in 2021 at "Frontiers in Behavioral Neuroscience"
DOI: 10.3389/fnbeh.2021.659331
Abstract: When organisms’ environmental conditions vary unpredictably in time, it can be advantageous for individuals to hedge their phenotypic bets. It has been shown that a bet-hedging strategy possibly underlies the high inter-individual diversity of phototactic… read more here.
Keywords: hedging strategy; drosophila melanogaster; bet hedging; variability ... See more keywords