Alternative Methods to Estimate the State Price Density

2015 ◽  
Author(s):  
Sergio Ortobelli Lozza ◽  
Noureddine Kouaissah
Keyword(s):  
The State ◽  
Alternative Methods ◽  
State Price ◽  
State Price Density

The State Price Density Implied by Crude Oil Futures and Option Prices

2021 ◽  
Author(s):  
Peter Christoffersen ◽  
Kris Jacobs ◽  
Xuhui (Nick) Pan
Keyword(s):  
The State ◽  
Stock Index ◽  
Economic Conditions ◽  
Option Prices ◽  
Oil Futures ◽  
State Price ◽  
Price Increases ◽  
Crude Oil Futures ◽  
State Price Density ◽  
Positive Return

Abstract Both large oil price increases and decreases are associated with deteriorating economic conditions. The projection of the state price density (SPD) onto oil returns estimated from oil futures and option prices displays a U-shaped pattern. Because investors assign high state prices to large negative and large positive oil returns, the U-shaped SPD may steepen in either tail when economic conditions deteriorate. The positive return region of the SPD is more closely related to economic conditions. The oil SPD contains information about economic conditions and future security returns that is distinct from the information in the stock index SPD.

scholarly journals Nonparametric Estimation of Fractional Option Pricing Model

2020 ◽  
Vol 2020 ◽  
pp. 1-8
Author(s):  
Qing Li ◽  
Songlin Liu ◽  
Misi Zhou
Keyword(s):  
Option Pricing ◽  
Stock Exchange ◽  
Option Price ◽  
Integral Function ◽  
The State ◽  
Pricing Model ◽  
State Price ◽  
Black Scholes ◽  
Option Pricing Model ◽  
State Price Density

The establishment of the fractional Black–Scholes option pricing model is under a major condition with the normal distribution for the state price density (SPD) function. However, the fractional Brownian motion is deemed to not be martingale with a long memory effect of the underlying asset, so that the estimation of the state price density (SPD) function is far from simple. This paper proposes a convenient approach to get the fractional option pricing model by changing variables. Further, the option price is transformed as the integral function of the cumulative density function (CDF), so it is not necessary to estimate the distribution function individually by complex approaches. Finally, it encourages to estimate the fractional option pricing model by the way of nonparametric regression and makes empirical analysis with the traded 50 ETF option data in Shanghai Stock Exchange (SSE).

Two Trees with Heterogeneous Beliefs: Spillover Effect of Disagreement

2018 ◽  
Vol 54 (4) ◽  
pp. 1791-1819 ◽  
Author(s):  
Bing Han ◽  
Lei Lu ◽  
Yi Zhou
Keyword(s):  
Model Prediction ◽  
Large Firm ◽  
Spillover Effect ◽  
The State ◽  
Heterogeneous Beliefs ◽  
The Novel ◽  
State Price ◽  
State Price Density ◽  
Novel Model

In a model where investors disagree about the fundamentals of two stocks, the state-price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks owned by these investors. The pricing effects of investor disagreements crucially depend on the average belief biases. Empirical findings support the novel model prediction of a disagreement spillover effect and help reconcile some mixed evidence in the literature.

Statehood and the State-Like in International Law

2019 ◽  
Author(s):  
Rowan Nicholson
Keyword(s):  
Hong Kong ◽  
International Law ◽  
The State ◽  
Alternative Methods ◽  
Important Conclusion ◽  
Territorial Integrity ◽  
The Past ◽  
Imperial China ◽  
Peremptory Norms ◽  
Legal Sense

If the term were given its literal meaning, international law would be law between ‘nations’. It is often described instead as being primarily between states. But this conceals the diversity of the nations or state-like entities that have personality in international law or that have had it historically. This book reconceptualizes statehood by positioning it within that wider family of state-like entities. An important conclusion of the book is that states themselves have diverse legal underpinnings. Practice in cases such as Somalia and broader principles indicate that international law provides not one but two alternative methods of qualifying as a state: subject to exceptions connected with territorial integrity and peremptory norms, an entity can be a state either on the ground that it meets criteria of effectiveness or on the ground that it is recognized by all other states. Another conclusion is that states, in the strict legal sense in which the word is used today, have never been the only state-like entities with personality in international law. Others from the past and present include imperial China in the period when it was unreceptive to Western norms; pre-colonial African chiefdoms; ‘states-in-context’, an example of which may be Palestine, which have the attributes of statehood relative to states that recognize them; and entities such as Hong Kong.

STATISTICAL OVERVIEW OF CAPITAL INVESTMENTS TRENDS OF STATE STIVIDOR COMPANIES OF UKRAINE

2018 ◽  
Author(s):  
Liudmyla Chyzh ◽  
◽  
Svitlana Oneshko ◽  
Ihor Moroz ◽  
◽  
...  
Keyword(s):  
The State ◽  
Foreign Bank ◽  
Bank Loans ◽  
Alternative Methods ◽  
General Tendency ◽  
Capital Investments ◽  
Investment Activity ◽  
Fixed Assets ◽  
State And Local ◽  
Capital Construction

The research analyzes capital investments of state-owned stevedoring companies using statistical methods of relative and average values and indices. It has been established that the current trends in the port industry of Ukraine indicate insufficient capital investments, inconsistency of actual indicators with planned ones, and the lack of external financing. Against the general tendency of profitability deterioration of state-owned stevedoring companies and the decrease of their marketshare of port services vs the increase of privately-owned stevedoring companies, the importance of competitiveness strengthening is increasing namely through the availability of sufficient fixed assets in the form of portal cranes and a port fleet. The tendencies of the indicator "capital investments" for the state stevedoring companies of Ukraine has been determined. The analysis has demonstrated the existence of a stable trend of a capital investments decrease of almost all companies, which is very typical for most of the analyzed companies and is associated with the lack of: investment activity, executing capital investments and expanding production capacities. In addition to the above, all capital investments are financed with own assets, without using alternative methods of financing, such as funds from the state and local budgets, national and foreign bank loans. The most actively implemented type of the capital investments is modernization, modification (restructuring, additional equipment, reconstruction) of existing fixed assets. The least popular types are capital construction and major repairs. It is proposed to determine the relationship between the tendencies of capital investments in fixed assets and the increase in investment activity by the application of the ratio of the average annual growth rates of capital investments in fixed assets divided by the indicator of their efficiency (profitability of fixed assets), calculated as the ratio of net profit to the average annual cost of fixed assets. It is recommended to use factor analysis using classical methods of deterministic analysis, as well as simulation modelling, for more detailed analysis of capital investments in fixed assets.

scholarly journals On Public Interest in a Criminal Procedure

Russian judge ◽  
2021 ◽  
Vol 1 ◽  
pp. 26-30
Author(s):  
Eduard S. Kaminskiy ◽  
Keyword(s):  
Public Interest ◽  
Criminal Procedure ◽  
The State ◽  
Social Needs ◽  
Alternative Methods ◽  
Criminal Prosecution ◽  
Criminal Proceedings ◽  
Is Implementation ◽  
Progressive Development ◽  
Legitimate Interests

The article analyzes the concept and content of public interest in criminal proceedings. It is concluded that public interests are social needs recognized by the state and regulated by the norms of law, aimed at achieving public goods, the satisfaction of which ensures the integrity, stability and progressive development of society. The interests of society and the state are protected through a structured system of criminal proceedings, which is public in nature. The basis of public prosecution is criminal prosecution on behalf of the state. The content of public interest in criminal proceedings is: implementation of such a regime of investigation and resolution of criminal cases that allows to protect society from criminal attacks; protection of the rights and legitimate interests of persons involved in criminal procedure; refusal to apply excessive measures of responsibility to persons who have committed crimes, use of alternative methods of resolving criminal law conflicts.

CONCEPTUAL APPROACHES TO THE MANAGEMENT OF NON-CURRENT ASSETS OF CORPORATE ENTERPRISES

2017 ◽  
Author(s):  
Liudmyla Yurchyshena ◽  
◽  
Iryna Kovalchuk ◽  
Keyword(s):  
Production Capacity ◽  
The State ◽  
Alternative Methods ◽  
Energy Industry ◽  
Technical Level ◽  
Management Decisions ◽  
Technical Base ◽  
Definition Of ◽  
Level Production ◽  
Assets Management

The article defines that non-current assets form the basis of the material and technical base of the enterprise, determine its technical level, production capacity, ability to perform works and services. Approaches to the definition of management of non-current assets and their directions are investigated. A concept of non-current assets management has been developed, aimed at improving the process of forming non-current assets. The concept is based on such principles as strategic, objectivity, balance, efficiency, complexity, defined goals, key objectives, proposed management methods and disclosed expected results. The transformation of non-current assets management is considered, which will allow to fully cover the entire sphere of activity of corporate enterprises. The analysis of the dynamics of the state and structure of non-current assets is carried out, the results of which are given in the article, the tendencies of their change are estimated according to the results of the fuel and energy industry and AT "Vinnytsiagaz". Based on the results of the research, the process of non-current assets management is proposed, which involves passing stages to determine alternative methods for making management decisions.

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