Applying black scholes model in option pricing for VN30

... Scholes model) , and to the Black Scholes equation The two approaches should therefore lead to the same final conclusions: now comes the acid test 52 5.4 GREEKS FOR THE BLACK SCHOLES MODEL (i) Stated ... 5.4 GREEKS FOR THE BLACK SCHOLES MODEL (i) Some Useful Differentials: The Black Scholes model gives specific analytical formulas for the prices of Europ...

Ngày tải lên: 25/10/2013, 19:20

... the useful Monte Carlo simulation CHAPTER MONTE CARLO SIMULATION FOR PRICING EUROPEAN OPTIONS27 Chapter Monte Carlo Simulation for Pricing European Options 3.1 Framework As discussed in Section ... 2.3.3 Monte Carlo Simulation Monte Carlo Simulation is very useful in calculating the value of an option with multiple factors of uncertainty or with compli...

Ngày tải lên: 16/10/2015, 15:35

... letter) sigma , the higher the interest rate r, the longer the time until the call date t and the lower the strike price L, the higher the value of the option C will be Limitations of the Model As consistent ... (the first term) on the right - hand side, and the expected cost (the second term) if the option is exercised The higher the current share...

Ngày tải lên: 08/04/2014, 12:09

... applying the Fama and French model is 1.08 The smaller intercept coefficients in the Fama and French model, the more significance level of the variables putting into the model compared with the ... between these five factors and the rate of return of the stocks and bonds In the reasonable market, the change in profit in the short...

Ngày tải lên: 13/09/2015, 17:51

... now seeing a decline in number but an increase in scale for each member Joint- Venture Bank, foreign bank branches: Joint- Venture Banks and 27 foreign bank branches are in operation in Vietnam ... However, VPBank is opposing increasing competition of Joint Stock competitors in order to exist and development Moreover, I have been working in VPBank, one of the first...

Ngày tải lên: 26/11/2013, 20:57

... rates and default by means of a stochastic intensity that will be correlated with the short rate 2.1 Pricing and calibrating CDS with deterministic intensity models Consider the CDS payoff (1) and ... of the interest-rate part to interest-rate data and of the intensity part to credit market data Indeed, in the separable case the credit derivatives de...

Ngày tải lên: 06/03/2014, 04:21

... M., and Tenenbaum, J B (2005) Integrating topics and syntax In Proceedings of Advances in Neural Information Processing Systems [Grimmer, 2009] Grimmer, J (2009) A Bayesian Hierarchical Topic Model ... conversations using a hierarchical model, such as the hierarchical Dirichlet process (HDP) (Teh et al., 2006) Modeling Approaches The key insight of topic segmentation...

Ngày tải lên: 07/03/2014, 18:20

... Our smart camera system SMART CAMERA PARTICLE FILTER TRACKING We first describe our camera hardware before we go into the details of particle filter-based tracking in camera domain which was presented ... combine standard cameras and PCs to form local camera nodes extends the use of PC-based surveillance over larger areas where no smart cameras are available yet Our system is...

Ngày tải lên: 22/06/2014, 22:20

... ±τ/2} Here the pixel points that fall within the narrowband are obtained from the original image Moreover a compound image is composed of u+ , u− , and the region of narrowband as shown in Figure ... minimizing the Mumford- Shah functional in image processing,” in Proceedings of the IEEE Workshop on Variational and Level Set Methods (VLSM ’01), pp 161–168, Vanco...

Ngày tải lên: 22/06/2014, 22:20

... leads to the production and secretion of a larger mutant FBN-1 protein [14] The mutant protein expresses an increase in the number of TGF-β binding motifs resulting in more efficient binding of TGF-β ... compared to TSK mice (p < 0.05) The TGF-β1 values correlated with the degree of skin injury and fibrosis seen at the end the study The quantity of TGF-β1 in...

Ngày tải lên: 09/08/2014, 09:22

... joint Finally, we studied the efficacy of microparticles containing DXM and SPIONs (referred to as complete microparticles) as an anti-inflammatory drug delivery system in an experimental model ... demonstrated by the preliminary study and considering the fact that they can incorporate more DXM and SPIONs than the 1-μm microparticles, we chose the 10-μm micropar...

Ngày tải lên: 09/08/2014, 14:20

... specifically encouraged these behaviors The challenge of behavioral and contextual specificity The utility and validity of applying behavioral theory to intervention research is related directly to the ... development of interventions to increase shared decision- making The field of psychology has developed a large body of theoretical and empirical work de...

Ngày tải lên: 11/08/2014, 05:21

... over the past 30 years [21] These include the Theory of Reasoned Action, the Theory of Planned Behavior, the Health Belief Model and Social Cognitive Theory [31-34] Implicit in the combination of ... for investigators grows from the contextual specificity required by the theory This relates both to the context for the behavior of interest as well as to...

Ngày tải lên: 11/08/2014, 16:20

... mathematical scientific method which has high generality, solid stability for encoding the relationships of the objects being studied Therefore using Graph in teaching genetics for pupils at high ... of graph theory in teaching in general and teaching in part Genetics (Biology 12 - high school) particular; 6.2 Explore and use the graph in teachi...

Ngày tải lên: 04/10/2014, 12:44

... and creativeness in reading comprehension teaching 1.1.2 Models in texts reading comprehension teaching 1.1.2.1 Questions in teaching and in teaching reading texts a) Questions in teaching Questions ... Vietnam Institute of Educational Science Library of teaching questions for comprehending argumentative in Literature syllabus at high sch...

Ngày tải lên: 06/10/2014, 12:02