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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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ECONIS (ZBW)
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Other ZBW resources
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1
Numerical approximation to a variable-order time-fractional
Black-Scholes
model
with applications in option pricing
Zhang, Meihui
;
Zheng, Xiangcheng
- In:
Computational economics
62
(
2023
)
3
,
pp. 1155-1175
Persistent link: https://www.econbiz.de/10014382889
Saved in:
2
Physics-informed convolutional transformer for predicting volatility surface
Kim, Soohan
;
Yun, Seok-Bae
;
Bae, Hyeong-Ohk
;
Lee, Muhyun
; …
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 203-220
Persistent link: https://www.econbiz.de/10014551964
Saved in:
3
Option valuation with conditional heteroskedastic hidden truncation models
Belhachemi, Rachid
- In:
Computational economics
63
(
2024
)
6
,
pp. 2585-2601
Persistent link: https://www.econbiz.de/10014636763
Saved in:
4
A bilinear pseudo-spectral method for solving two-asset European and American pricing options
Khasi, M.
;
Rashidinia, J.
- In:
Computational economics
63
(
2024
)
2
,
pp. 893-918
Persistent link: https://www.econbiz.de/10014475075
Saved in:
5
Option pricing based on the residual neural network
Gan, Lirong
;
Liu, Wei-han
- In:
Computational economics
63
(
2024
)
4
,
pp. 1327-1347
Persistent link: https://www.econbiz.de/10014549024
Saved in:
6
The valuation of options on discrete dividend-paying stocks
Shan, Yuanchuang
;
Shu, Huisheng
;
Zhang, Xuekang
;
Yi, Haoran
- In:
Applied economics letters
31
(
2024
)
12
,
pp. 1090-1095
Persistent link: https://www.econbiz.de/10014558681
Saved in:
7
The valuation of real options for risky barrier to entry with hybrid stochastic and local volatility and stochastic investment costs
Kim, Donghyun
;
Shin, Yong Hyun
;
Yoon, Ji-Hun
- In:
The North American journal of economics and finance : a …
70
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014491977
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8
Fractional Brownian motion in option pricing and dynamic delta hedging : experimental simulations
Dufera, Tamirat Temesgen
- In:
The North American journal of economics and finance : a …
69
(
2024
)
2
,
pp. 1-13
Persistent link: https://www.econbiz.de/10014445631
Saved in:
9
The realized local volatility surface
Ma, Yuming
;
Sengoku, Shintaro
;
Nakata, Kazuhide
- In:
The journal of investment strategies
12
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014484616
Saved in:
10
Option valuation with nonmonotonic pricing kernel and embedded volatility component premiums
Chang, Hsuan-Ling
;
Cheng, Hung-Wen
;
Lei, Yi-Ding
- In:
The journal of derivatives : JOD
30
(
2023
)
4
,
pp. 105-127
Persistent link: https://www.econbiz.de/10014306890
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