Encontrados 4 documentos, a visualizar página 1 de 1
A note on (dis)investment options and perpetuities under CIR interest rates
Larguinho, Manuela; Dias, José Carlos; Braumann, Carlos A.In this chapter, we discuss alternative ways of computing the oprions to invest in and divest from an investment project in a CIR economy (Cox et al., Ecomometrica 53(2): 385-408, 1985). Moreover, different methods of determining CIR perpetuities will also be analysed.
On the computation of option prices and Greeks under the CEV model
Larguinho, Manuela; Dias, José Carlos; Braumann, Carlos A.Pricing options and evaluating Greeks under the constant elasticity of variance (CEV) model requires the computation of the non-central chi-square distribution function. In this article, we compare the performance, in terms of accuracy and computational time, of alternative methods for computing such probability distributions against an externally tested benchmark. In addition, we present closed-form solutions ...
Absolute diffusion process: sensitivity measures
Larguinho, Manuela; Dias, José Carlos; Braumann, Carlos A.The constant elasticity of variance (CEV) model of Cox (Notes on Option Pricing I: Constant Elasticity of Variance Diffusions, Working paper, Stanford University (1975)) captures the implied volatility smile that is similar to volatility curves observed in practice. The diffusion process has been used for pricing several financial option contracts. In this paper we present the analytical expressions of sensitiv...
As determinantes da implantação do inventário permanente em Portugal: um estudo...
Almeida, José Joaquim Marques de; Coimbra, Pedro; Larguinho, ManuelaO Decreto-lei n.º 79/2003, de 23 de Abril, aperfeiçoa o Decreto-lei n.º 44/99, de 12 de Fevereiro, ambos foram emitidos pelo Ministério das Finanças de Portugal, e determinam, por razões de gestão, a obrigatoriedade da adopção do inventário permanente a um vasto conjunto de empresas portuguesas, dos sectores comercial, serviços ou industrial. Pressupõem, ex-ante, que a aplicação do supracitado inventário permit...
| Financiadores do RCAAP | |||||||
|
|
|
|
|
|
||