Critical Value-Based Power Options Pricing Problems in Uncertain Financial Markets

2021 ◽  
pp. 2150002
Author(s):  
Guimin Yang ◽  
Yuanguo Zhu
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Numerical Experiments ◽  
Critical Value ◽  
The Other ◽  
Options Pricing ◽  
Underlying Asset ◽  
Pricing Problems ◽  
Fractional Differential ◽  
The One

Compared with investing an ordinary options, investing the power options may possibly yield greater returns. On the one hand, the power option is the best choice for those who want to maximize the leverage of the underlying market movements. On the other hand, power options can also prevent the financial market changes caused by the sharp fluctuations of the underlying assets. In this paper, we investigate the power option pricing problem in which the price of the underlying asset follows the Ornstein–Uhlenbeck type of model involving an uncertain fractional differential equation. Based on critical value criterion, the pricing formulas of European power options are derived. Finally, some numerical experiments are performed to illustrate the results.

Multidimensional regular C-fraction with independent variables corresponding to formal multiple power series

2019 ◽  
Vol 150 (4) ◽  
pp. 1853-1870 ◽  
Author(s):  
R. I. Dmytryshyn
Keyword(s):  
Power Series ◽  
Continued Fractions ◽  
Numerical Experiments ◽  
The Other ◽  
Independent Variables ◽  
Classical Algorithm ◽  
Multiple Power ◽  
The One ◽  
The Given ◽  
Multiple Power Series

AbstractIn the paper the correspondence between a formal multiple power series and a special type of branched continued fractions, the so-called ‘multidimensional regular C-fractions with independent variables’ is analysed providing with an algorithm based upon the classical algorithm and that enables us to compute from the coefficients of the given formal multiple power series, the coefficients of the corresponding multidimensional regular C-fraction with independent variables. A few numerical experiments show, on the one hand, the efficiency of the proposed algorithm and, on the other, the power and feasibility of the method in order to numerically approximate certain multivariable functions from their formal multiple power series.

scholarly journals Disproportional Ownership Devices: Reviewing the Last 25 Years of Research

2016 ◽  
Vol 11 (4) ◽  
pp. 22 ◽  
Author(s):  
Sara Saggese ◽  
Fabrizia Sarto
Keyword(s):  
Financial Markets ◽  
Policy Making ◽  
Civil Law ◽  
The Other ◽  
Main Research ◽  
The One ◽  
Lock In ◽  
Practical Implications ◽  
Scholarly Attention ◽  
Over Time

<p>The paper aims to systematize the literature on disproportional ownership devices by reviewing and classifying 148 articles published in international academic journals over the last 25 years. The findings show that the scholarly attention on disproportional ownership devices has grown over time. Most papers adopt the agency framework and examine the mechanisms for leveraging voting power and to lock-in control, especially in civil law countries. Corporate governance journals prevail as leading outlets, despite the lack of publications specialized on the topic. Finally, the literature systematization highlights a research taxonomy based on outcomes and drivers of disproportional ownership devices. The article has both theoretical and practical implications. First, it develops a literature framework that systematically outlines the main research streams on the topic and identifies under-explored issues so as to guide future scholarly efforts. Second, it highlights the implications of disproportional ownership devices for company outcomes and reporting. Thereby, on the one hand, it supports managers in selecting the appropriate combination of these mechanisms so as to attract and retain investors. On the other hand, it emphasizes the importance of proper policy making interventions to improve transparency, openness and competitiveness of financial markets.</p>

CONIC CPPIs

2018 ◽  
Vol 21 (02) ◽  
pp. 1850012
Author(s):  
INE MARQUET ◽  
WIM SCHOUTENS
Keyword(s):  
Main Idea ◽  
Trading Strategies ◽  
The Other ◽  
Risky Asset ◽  
Underlying Asset ◽  
Constant Multiplier ◽  
State Dependent ◽  
Conic Finance ◽  
The One ◽  
Finance Theory

Constant proportion portfolio insurance (CPPI) is a structured product created on the basis of a trading strategy. The idea of the strategy is to have an exposure to the upside potential of a risky asset while providing a capital guarantee against downside risk with the additional feature that in case the product has since initiation performed well more risk is taken while if the product has suffered mark-to-market losses, the risk is reduced. In a standard CPPI contract, a fraction of the initial capital is guaranteed at maturity. This payment is assured by investing part of the fund in a riskless manner. The other part of the fund’s value is invested in a risky asset to offer the upside potential. We refer to the floor as the discounted guaranteed amount at maturity. The percentage allocated to the risky asset is typically defined as a constant multiplier of the fund value above the floor. The remaining part of the fund is invested in a riskless manner. In this paper, we combine conic trading in the above described CPPIs. Conic trading strategies explore particular sophisticated trading strategies founded by the conic finance theory i.e. they are valued using nonlinear conditional expectations with respect to nonadditive probabilities. The main idea of this paper is that the multiplier is taken now to be state dependent. In case the algorithm sees value in the underlying asset the multiplier is increased, whereas if the assets is situated in a state with low value or opportunities, the multiplier is reduced. In addition, the direction of the trade, i.e. going long or short the underlying asset, is also decided on the basis of the policy function derived by employing the conic finance algorithm. Since nonadditive probabilities attain conservatism by exaggerating upwards tail loss events and exaggerating downwards tail gain events, the new Conic CPPI strategies can be seen on the one hand to be more conservative and on the other hand better in exploiting trading opportunities.

scholarly journals Neoklassischer Marxismus?

2015 ◽  
Vol 45 (179) ◽  
Author(s):  
Michael Wendl
Keyword(s):  
Political Economy ◽  
Economic Development ◽  
Financial Markets ◽  
Central Banks ◽  
The Other ◽  
Real Economy ◽  
Money Creation ◽  
The One ◽  
Influential Book ◽  
Value Of Money

A couple of years after the outbreak of the financial crisis, a discussion about money creation from a political economy perspective has finally been initiated again, analyzing the interaction between commercial and central banks. Neo-Marxist approaches, though, are to a large extent unaffected by this discussion – which is based on Joseph Schumpeter’s Theory of Economic Development (1911) – or even completely reject the idea of a money-creation out of nothing. Two Neo-Marxist articles are exemplary of this deficit of monetary theories. On the one hand, the influential book Political Economy of Financial Markets (1999) by Jörg Huffschmid, which has constituted the paradigm of capitalism being driven by financial markets. On the other hand Political Economy of Money (2012) by Stephan Krüger, which assumes that the value of money is still based on the respective production of gold. Consequently, these approaches unintended trigger an adherence to the Neoclassical dichotomy of „real economy“ and „monetary sphere“, albeit with different rationales.

scholarly journals Reading Keynes’s policy papers through the prism of his Treatise on Probability: information, expectations and revision of probabilities in economic policy

2021 ◽  
Author(s):  
Sylvie Rivot
Keyword(s):  
Decision Making ◽  
Probability Theory ◽  
Economic Policy ◽  
Financial Markets ◽  
The Self ◽  
The Other ◽  
Policy Recommendations ◽  
The Great Depression ◽  
The One ◽  
Probability Information

When scholars investigate the legacy of Keynes’s Treatise on Probability (1921) for the development of Keynes’s thinking, the attention usually focuses on the connections between Keynes’s probability theory, his conception of decision-making under uncertainty and the theory of the functioning of the macroeconomic system that derives from it - through the marginal efficiency of capital, the preference for liquidity and the self-referential functioning of financial markets. By contrast, the paper aims to investigate the connections between Keynes’s probability theory on the one hand, and his economic policy recommendations on the other. It concentrates on the policy recommendations defended by Keynes during the Great Depression but also after the General Theory. Keynes’s economic policy can be understood as a framework for decision-making in situations of uncertainty: fiscal policy aims to induce private agents to change their “rational” probability statements, while monetary policy aims to allow more weight to these statements.

scholarly journals Contemporary art and financialization: Two approaches

2016 ◽  
Vol 2 (2) ◽  
pp. 127-37 ◽  
Author(s):  
Victoria Ivanova
Keyword(s):  
Financial Markets ◽  
Contemporary Art ◽  
Cultural Dimensions ◽  
The Other ◽  
Hostile Environment ◽  
Cultural Perspective ◽  
Holistic Understanding ◽  
Derivative Instruments ◽  
The One ◽  
The Relationship

This essay identifies two approaches to theorizing the relationship between financialization and contemporary art. The first departs from an analysis of how market logics in non-financial spheres are being transformed to facilitate financial circulation; the other considers valuation practices in financial markets (and those related to derivative instruments in particular) from a socio-cultural perspective. According to the first approach, the contemporary art market is in theory a hostile environment for financialization, although new practices are emerging that are increasing its integration with the financial sphere. The second approach identifies socio- cultural similarities between the logics by which value is extracted, amplified, and distributed through derivative instruments and contemporary art. The two approaches present a discrepancy: on the one hand, contemporary art functions as an impediment to outright financialization because of market opacity; on the other, contemporary art represents a socio- cultural analog to derivative instruments. The essay concludes by setting out the terms for a more holistic understanding of contemporary art’s relationship to financialization, which would enable an integration of its economic and socio-cultural dimensions.

Transformation of banking reconsidered: how feasible is ‘de-financialisation’?

2019 ◽  
Vol 43 (4) ◽  
pp. 1053-1071 ◽  
Author(s):  
Robert Sweeney
Keyword(s):  
Financial Markets ◽  
Capital Markets ◽  
Asset Management ◽  
Banking System ◽  
Investment Banking ◽  
Financial Service ◽  
The Other ◽  
The One ◽  
Neoliberal Restructuring ◽  
Derivatives Markets

AbstractA defining feature of financialisation has been the transformation of banking, especially the expansion of investment banking. This article argues that the financialisation literature has, to date, failed to adequately explain this transformation. Neither disintermediation processes on the one hand, nor liberalisation of financial service activities on the other hand can explain the increase in scale and scope of the sector. The growth in investment banking activities should instead be seen in terms of the overall expansion of financial markets. In particular, demographic pressures and neoliberal restructuring have led to the growth of capital markets and modern asset management. The rise of capital markets and asset management, and the associated growth of money and derivatives markets have, in turn, put pressures on the banking system for expanded investment services, which it has met. Understanding financialisation as a structural change implies limits on how much economies can be ‘de-financialised’.

scholarly journals Types of Non-Banking Financial Institutions

2021 ◽  
Vol 16 (11) ◽  
pp. 32-41
Author(s):  
V. V. Chistyukhin
Keyword(s):  
Financial Market ◽  
Financial Institutions ◽  
Financial Services ◽  
Legal Regulation ◽  
Professional Services ◽  
The Other ◽  
Research Issue ◽  
The Stability ◽  
The One ◽  
Definition Of

The paper is devoted to the study of the types of non-banking financial organizations. A classification  is an integral part of scientific knowledge, which allows us to visually demonstrate the inner content of the  category under consideration and identify the features of each element of the analyzed concept. The research  issue of the paper is predetermined by the lack of legal division between non-banking financial organizations.  The classification given in the paper, according to the author, on the one hand, most fully reflects the range of  financial services provided by non-banking financial institutions, and, on the other hand, allows differentiating the roles that separate non-banking financial institutions play in the organization and functioning of the financial  market. The latter is important for determining the specifics of legal regulation of different groups of non-banking  financial organizations, since each of them has a different meaning for ensuring the stability and sustainability of  the financial market. The paper reflects the author’s position concerning the definition of the concept of "non-banking financial organizations" and the place of individuals providing professional services in the financial market  in the system of financial organizations.

scholarly journals READING KEYNES’S POLICY PAPERS THROUGH THE PRISM OF HIS TREATISE ON PROBABILITY: INFORMATION, EXPECTATIONS, AND REVISION OF PROBABILITIES IN ECONOMIC POLICY

2021 ◽  
Vol 43 (4) ◽  
pp. 604-618
Author(s):  
Sylvie Rivot
Keyword(s):  
Decision Making ◽  
Probability Theory ◽  
Economic Policy ◽  
Financial Markets ◽  
The Self ◽  
The Other ◽  
Policy Recommendations ◽  
The Great Depression ◽  
The One ◽  
Probability Information

When scholars investigate the legacy of John Maynard Keynes’s Treatise on Probability (1921) for the development of Keynes’s thinking, the attention usually focuses on the connections among Keynes’s probability theory, his conception of decision-making under uncertainty, and the theory of the functioning of the macroeconomic system that derives from it—through the marginal efficiency of capital, the preference for liquidity, and the self-referential functioning of financial markets. By contrast, this paper aims to investigate the connections between Keynes’s probability theory, on the one hand, and his economic policy recommendations, on the other. It concentrates on the policy recommendations defended by Keynes during the Great Depression but also after the General Theory. Keynes’s economic policy can be understood as a framework for decision-making in situations of uncertainty: fiscal policy aims to induce private agents to change their “rational” probability statements, while monetary policy aims to allow more weight to these statements.

scholarly journals AN OVERVIEW OF THE OPTIONS WITHIN AN ISLAMIC CONTEXT

2020 ◽  
Vol 5 (12) ◽  
pp. 1-27
Author(s):  
Hamidouche M’hamed
Keyword(s):  
Financial Markets ◽  
Stock Exchange ◽  
The Other ◽  
Financial Instruments ◽  
Random Yield ◽  
Financial Instrument ◽  
Equal Zero ◽  
Muslim Countries ◽  
The One ◽  
Reduced Risk

The investors search the financial instruments which contain least cost and reduced risk. As a recap, the financial instrument is negotiable contracts and they are two sorts, at the: • First, the traditional assets financials with that are negotiated in market of the stock exchange (shares, bonds, and the part in organism for collective investment in securities value …) or other cash instruments such as loans and deposits commercialize in the market; • Second, the derived financial product: there are two types of contracts, for the one a close position like (forwards, futures, swaps) and for the other one, the optional position likes options or warrants. So, all Islamic country observes that the option hasn’t legitimate in stock exchange and it has for originate most of the doctrine of Islam prohibit the transaction with all kinds of options,this implies a complete absence of options in the financial markets of Muslim countries and this context a random yield with in the money (ITM) of option equal zero.

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