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finance and university of oxford and volatility - All News and Analysis
Oxford report suggests SRI funds are not more costly.
- 2008-03-24
Ethical funds do not bring investors any increased cost compared to more-traditional funds, but volatility and risk are increased, a report has suggested. . Oliver Good The research on the investment performance of ethical funds was conducted by independent investment consultants Jewson Associates for...
An Asymptotic Analysis of an American Call Option With Small Volatility
BNET
- 2004-05-09
This paper presents an asymptotic analysis of an American call option where the diffusion term volatility is small compared to the drift terms interest rate and continuous dividend yield. The paper shows that in the limit where diffusion is negligible, relative to drift, then, at leading order, the American call's...
Trading Volume and Stochastic Volatility
BNET
- 2001-05-19
This paper develops a subordinated stochastic process model for asset prices, where the directing process is identified as information. Motivated by empirical and theoretical work, the paper makes use of the under-used market statistic of transaction count as a suitable proxy for the information flow. An option pricing formula is...
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