Additive logistic processes in option pricing

In option pricing, it is customary to first specify a stochastic underlying model and then extract valuation equations from it. However, it is possible to reverse this paradigm: starting from an arbitrage-free option valuation formula, one could derive a family of risk-neutral probabilities and a corresponding risk-neutral underlying asset process. In this paper, we start from two simple arbitrage-free valuation equations, inspired by the log-sum-exponential function and an $\ell ^{p}$ ℓ p vector norm. Such expressions lead respectively to logistic and Dagum (or “log-skew-logistic”) risk-neutral distributions for the underlying security price. We proceed to exhibit supporting martingale processes of additive type for underlying securities having as time marginals two such distributions. By construction, these processes produce closed-form valuation equations which are even simpler than those of the Bachelier and Samuelson–Black–Scholes models. Additive logistic processes provide parsimonious and simple option pricing models capturing various important stylised facts at the minimum price of a single market observable input.

Faktor-Faktor yang Mempengaruhi Kepuasan Pelanggan pada Transportasi Online Roda Dua PT X

<div><p class="1eAbstract-text"><em>The industrial revolution 4.0 changes the direction of human activity from conventional to digital, almost all aspects of life. as happened in the world of transportation, where the digital era presents transportation that can be ordered through our gedget. The purpose of this study was to determine, analyze and examine the relationship between the influence of service quality, security, price perception, payment methods and efficiency on customer satisfaction. This type of research is conclusive, namely finding evidence of a causal relationship (causal relationship) between variables. The number of indicators in this study were 24 indicators, so the number of samples to be taken for this study were 264 respondents. The results of the analysis state that the Efficiency variable has a significant positive effect on the Customer Satisfaction variables. While the variables of security, service quality, and perceived price have a positive effect on customer satisfaction but not significant, while the payment method variable has a positive and significant effect on customer satisfaction. Service quality does not have a significant effect on customer satisfaction, the security variable does not significantly influence customer satisfaction.</em></p></div>

Trading practice and Behavioral Biases of Individual Investors in Nepalese Stock Market

The paper was based on survey research design. There is significant association between experience group with herding bias and optimism bias and there is no significant association between experience group with investment decision bias, disposition effect bias, and overconfidence bias. Similarly there is significant association between trading frequency with herding bias, optimism bias, investment decision bias, disposition effect bias, and overconfidence bias. Heuristics may make investors overconfident as they overlook risks causing security price to move away from fundamentals. Investors tend to be overconfident and hence overestimate the accuracy of their forecast due to illusion of knowledge and illusion of control.

EVALUASI TINGKAT PENERIMAAN E-MONEY DI KALANGAN MAHASISWA YOGYAKARTA MENGGUNAKAN MODIFIKASI UTAUT2

In recent years, electronic money has received public attention as an alternative payment system in Indonesia. Based on data from Bank Indonesia, the volume and value of electronic money transactions has grown significantly in the last 10 years. But in reality, the number of users is still small when compared to debit cards. Many factors cause people to be reluctant to use e-money as a method of electronic transactions. Therefore, this study will evaluate the acceptance rate of electronic money among students and the factors that affect its acceptance. This study uses UTAUT2 which can add Trust, Perceived Risk and Perceived Security variables. Data was collected through distributing questionnaires online using google forms to 180 users. The data analysis method in this study used multiple linear regression and used SPSS software. The result, the level of acceptance of e-money among students is in a good category. It is known, Behavior Intention positively by Perceived Security, Price Value, Habit, Performance Expectancy, Trust, Facilitating Condition, Hedonic Motivation and negatively by Perceived Risk but not by Effort Expectancy and Social Influence.

Tabungan Emas dalam Tinjauan Hukum Islam (Studi Kasus di Pegadaian Syariah Cabang Pinrang)

This study aims to determine the practice of product contracts and a review of Islamic law on gold savings products in Sharia pawnshops. The research method used a field research approach (filed reaserch) which was qualitative descriptive, and data collection was obtained through observation, interviews and library research (library reaserch), and the research locus was carried out at the Pinrang Syariah Pegadaian Branch. The research results found that; First, regarding the practice, the Pinrang Branch of the Sharia Pegadaian provides many facilities for customers who want to start investing in gold. In addition, Pegadaian Syariah also offers products in the form of Gold Savings, which is a gold buying and selling service with deposit facilities. As for the process of liquidating (selling) gold, it is carried out in two ways, namely by reselling it if the customer wants cash and printing if the customer wants it in the form of gold bullion. Second, the Gold Savings scheme in Sharia Pawnshops is a problematic contract because one of the contracts has an element of usury, to be precise in the murabahah contract, where scholars have different opinions about its abilities. Jumhur ulama agree on the prohibition (because some scholars from syafi'iyyah and malikiyyah argue that gold is included as ṡaman (price, means of payment, money) which cannot be exchanged in installments, because it causes usury and must be done in cash at the time of the contract. Third, DSN MUI and other contemporary scholars consider that the sale and purchase of gold / murabahah gold is permissible both in cash and credit as long as they are not intended as security (price) but sil'ah (goods).

Predicting SARS-CoV-2 Infection Trend Using Technical Analysis Indicators

ABSTRACT Objectives: Coronavirus disease 2019 (COVID-19) pandemic is a global health emergency caused by severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2). This study aimed to evaluate whether technical analysis (TA) indicators, commonly used in the financial market to spot security price trend reversals, might be proficiently used also to anticipate a possible increase of SARS-Cov-2 spread. Methods: Analysis was performed on datasets from Italy, Iran, and Brazil. TA indicators tested were: (1) the combined use of a faster (3-d) and a slower (20-d) simple moving averages (SMA), (2) the moving average converge/divergence (MACD), and (3) the divergence in the direction of the number of new daily cases trend and the corresponding MACD histogram. Results: We found that the use of both fast/slow SMAs and MACD provided a reliable signal of trend inversion of SARS-Cov-2 spread. Results were consistent for all the 3 countries considered. The trend reversals signaled by the indicators were always followed by a sustained trend persistence until a new signal of reversal appeared. Conclusions: TA indicators tested here proved to be reliable tools to identify in the short mid-term a subsequent change of direction of viral spread trend either downward, upward, or sideward.

A study on forecasting the security prices by using technical indicator analysis with reference to sensex listed companies

This research work has been designed to forecast security price by using technical indicator analysis method. Investors and financial advisors use this method for analyzing the future buying and selling of securities in the capital market. This study helps the investor to understand and examine the position of the stock market and make a decision over securities.The present work has been devoted to the explanation of the concept of investment, analysis of investment, application of technical indicators, the profile of selected companies and other parts related to forecasting in the securities marketplace.

Earnings Announcement and the Performance of Security Prices of Companies Listed on the Nairobi Securities Exchange, Kenya

Security price performance is a significant economic activity which measures the company&rsquo;s wealth and plays a vital role in economic growth. Security price performance reflects investor perception to earn and grow returns in the future. However, this is not the case for the NSE, Kenya N20 share index, which for the past two to three years experienced declines in security prices prompting this study to investigate the effect of Earnings Announcements on the Performance of Security Prices of companies listed on the NSE, Kenya. The study applied the Dividend Signaling Theory, the Efficient Market Hypothesis, and the Market Expectation Theory. The study used the Event Study Methodology, administered a questionnaire and schedules to collect data from 25 listed companies, and used parametric statistical techniques - the ANOVA and Regression Analysis to analyze data and test the Hypotheses. The study found Earnings Announcements were insignificant at 5 percent significant level; thus, concluded that Earnings Announcements did not affect the Performance of Securities of companies listed on the NSE, Kenya. This study will guide the market activities and provide a better understanding of how to optimize returns. It will enable the policymakers to assess and evaluate the current status and, provide a platform for making reviews, designs, and formulate policies to regulate and control trading activities on the financial markets, contribute to knowledge and strengthen the foundation for further research. Future research should investigate the effects of other events on the performance of security prices of listed companies.

An Agent-Based Model of a Pricing Process with Power Law, Volatility Clustering, and Jumps

In this paper, we propose a new model of security price dynamics in order to explain the stylized facts of the pricing process such as power law distribution, volatility clustering, jumps, and structural changes. We assume that there are two types of agents in the financial market: speculators and fundamental investors. Speculators use past prices to predict future prices and only buy assets whose prices are expected to rise. Fundamental investors attach a certain value to each asset and buy when the asset is undervalued by the market. When the expectations of agents are exogenously driven, that is, entirely shaped by exogenous news, then they can be modeled as following a random walk. We assume that the information related to the two types of agents in the model will arrive randomly with a certain probability distribution and change the viewpoint of the agents according to a certain percentage. Our simulated results show that this model can simulate well the random walk of asset prices and explain the power-law tail distribution of returns, volatility clustering, jumps, and structural changes of asset prices.