Applying black scholes model in option pricing for VN30

The Black Scholes Model

The Black Scholes Model
... 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 European put and call options It is therefore possible ... GREEKS FOR THE BLACK SCHOLES MODEL so that = Note that this is independent of φ so that n(d1 ) −qT √ e Sσ T is the same for a put or a call option (iv) Theta: The differential of the Black Scholes...
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Monte carlo simulation in option pricing

Monte carlo simulation in option pricing
... 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 complicated features The term Monte Carlo ... will introduce these basic numerical methods for option pricing one by one 2.3.1 Binomial Trees Binomial trees derivatives pricing model was originally presented by Cox, Ross, and Rubinstein in...
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finance - turning finance into science - risk management and the black-scholes options pricing model

finance - turning finance into science - risk management and the black-scholes options pricing model
... 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 price S, the higher the volatility of the share price (Greek ... to the financial world This is what the Black- Scholes Options Pricing Model does The Math Behind It Option pricing requires five inputs: the option’s exercise price, the time to expiration, the...
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Applying fama and french three factors model and capital asset pricing model in the stock exchange of vietnam

Applying fama and french three factors model and capital asset pricing model in the stock exchange of vietnam
... 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 term had faintly affected the stock price and the BE/ME ratio The ... result showed that the three factors model explaining the effect of the risk factor to the rate of return of stock is better than the traditional CAPM model The Research Method a Data The research...
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Strategic plan for applying customer relationship management in Vietnam joint stock commercial bank for private enterprises

Strategic plan for applying customer  relationship management in Vietnam joint  stock commercial bank for private enterprises
... 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 Joint Stock banks in Vietnam, ... branches that can join Inter -bank independently or dependently owing to its policy and management capacity or they can choose not to join Inter -bank market Joint- Stock Commercial Bank system consists...
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Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot

Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot
... 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 desk might ask for the α parameters and the ... functions of rτ in the SSRD CIR++ model, we simply have to discount these scenarios from τ to and then average along scenarios Our results, with the same interest-rate and default- intensity dynamics...
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Báo cáo khoa học: "SITS: A Hierarchical Nonparametric Model using Speaker Identity for Topic Segmentation in Multiparty Conversations" pptx

Báo cáo khoa học:
... 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 is that segments evince lexical ... SITS with speaker identity run on all conversations Parameter Settings and Implementations In our experiment, all parameters of TextTiling are the same as in (Hearst, 1997) For statistical models,...
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Báo cáo hóa học: " Research Article Adaptive Probabilistic Tracking Embedded in Smart Cameras for Distributed Surveillance in a 3D Model" doc

Báo cáo hóa học:
... 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 capable of tracking ... single PC Camera nodes 3.2 Besides the preferred realization as smart camera, our system also allows for using standard cameras in combination with a PC to form a camera node for easier migration...
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Báo cáo hóa học: " An Improved Algorithm for the Piecewise-Smooth Mumford and Shah Model in Image Segmentation" docx

Báo cáo hóa học:
... ±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, Vancouver, BC, Canada, July 2001 T Le and ... framework for image segmentation using the Mumford and Shah model, ” Internation Journal of computer vision, vol 50, no 3, pp 271– 293, 2002 Yingjie Zhang was born in 1962 He obtained the Ph.D degree in...
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Báo cáo khoa học: " Radiation-induced skin injury in the animal model of scleroderma: implications for post-radiotherapy fibrosis" ppt

Báo cáo khoa học:
... 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 the skin of unirradiated C57/BL6 and TSK ... of 30 Gy Radiation-induced Leg Contraction Measurements of radiation-induced leg contraction in TSK and C57BL/6 mice starting at two months and continuing to the end of the study paralleled the...
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Báo cáo y học: "Magnetically retainable microparticles for drug delivery to the joint: efficacy studies in an antigen-induced arthritis model in mice" doc

Báo cáo y học:
... 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 microparticles for further therapeutic ... compatibility between the microparticles and the synovial tissues To determine the potential of DXM-containing magnetically retainable microparticles in i-a diseases, we tested their efficacy in an experimental...
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Báo cáo y học: " Adjuncts or adversaries to shared decision-making? Applying the Integrative Model of behavior to the role and design of decision support interventions in healthcare interactions" pps

Báo cáo y học:
... 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 devoted to conceptualizing and testing the determinants ... specificity required by the theory This relates both to the context for the behavior of interest as well as to the population that the investigator is interested in For example, a patient may perceive...
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báo cáo khoa học: " Adjuncts or adversaries to shared decision-making? Applying the Integrative Model of behavior to the role and design of decision support interventions in healthcare interactions" doc

báo cáo khoa học:
... 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 the population that the investigator ... sufficient to facilitate shared decision- making [20] Indeed, the failure to build on existing theory is often cited as one the major sources for lack of effectiveness of interventions in the healthcare...
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APPLYING GRAPH THEORY IN TEACHING GENETICS FOR THE TWELVE GRADE PUPIL AT HIGH SCHOOL

APPLYING GRAPH THEORY IN TEACHING GENETICS FOR THE TWELVE GRADE PUPIL AT HIGH SCHOOL
... 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 teaching Genetics (Biology 12 - high school) of the ... advantageous in modeling, systems of knowledge Graph has many strengths in expressing relationships and hierarchical in Genetics Therefore, using the Graph in teaching genetics for high school pupils...
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MODEL OF TEACHING QUESTIONS FOR COMPREHENDING ARGUMENTATIVE TEXTS IN LITERATURE SYLLABUS AT HIGH SCHOOLS

MODEL OF TEACHING QUESTIONS FOR COMPREHENDING ARGUMENTATIVE TEXTS IN LITERATURE SYLLABUS AT HIGH SCHOOLS
... 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 schools , Opponent 3: Nguyen Thuy Hong, PhD, Associate Professor ... seen in the following aspects: Identifying questions are those that focus on collecting and managing information out of and identifying key information in the texts Analyzing and explaining questions...
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