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~subject:"Option pricing theory"
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Option pricing theory
Theorie
85
Theory
82
Stochastic process
32
Stochastischer Prozess
32
discrete time
30
Discrete-time
27
Optionspreistheorie
22
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22
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22
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Russo, Emilio
5
Costabile, Massimo
3
Massabo, Ivar
3
Leccadito, Arturo
2
Li, Bingxin
2
Realdon, Marco
2
Amaba, Takafumi
1
Blöchlinger, Andreas
1
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1
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1
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1
Dert, Cees
1
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1
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1
Fusai, Gianluca
1
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1
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1
Godin, Frédéric
1
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1
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1
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1
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1
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1
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ECONIS (ZBW)
21
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1
Pricing swaptions and zero-coupon futures options under the
discrete-time
arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
2
A
discrete-time
approach to evaluate path-dependent derivatives in a regime-switching risk model
Russo, Emilio
- In:
Risks : open access journal
8
(
2020
)
1/9
,
pp. 1-22
This paper provides a
discrete-time
approach for evaluating financial and actuarial products characterized by path …
Persistent link: https://www.econbiz.de/10012204035
Saved in:
3
General lattice methods for arithmetic Asian options
Gambaro, Anna Maria
;
Kyriakou, Ioannis
;
Fusai, Gianluca
- In:
European journal of operational research : EJOR
282
(
2020
)
3
,
pp. 1185-1199
Persistent link: https://www.econbiz.de/10012161893
Saved in:
4
Which volatility model for option valuation in China? : empirical evidence from SSE 50 ETF options
Huang, Zhuo
;
Tong, Chen
;
Wang, Tianyi
- In:
Applied economics
52
(
2020
)
17
,
pp. 1866-1880
Persistent link: https://www.econbiz.de/10012197620
Saved in:
5
Option-implied filtering : evidence from the GARCH option pricing model
Li, Bingxin
- In:
Review of quantitative finance and accounting
54
(
2020
)
3
,
pp. 1037-1057
Persistent link: https://www.econbiz.de/10012233110
Saved in:
6
Dynamic jump intensities and risk premiums in crude oil futures and options markets
Christoffersen, Peter F.
;
Jacobs, Kris
;
Li, Bingxin
-
2016
efficient
discrete-time
jump models that allow for closed-form option valuation, and we use crude oil futures and options data …
Persistent link: https://www.econbiz.de/10011646275
Saved in:
7
Discrete
time
affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
Saved in:
8
Compound option pricing under stochastic volatility
Leccadito, Arturo
;
Russo, Emilio
- In:
International journal of financial markets and derivatives
5
(
2016
)
2/4
,
pp. 97-110
Persistent link: https://www.econbiz.de/10011742310
Saved in:
9
Identifying, valuing and hedging of embedded options in non-maturity deposits
Blöchlinger, Andreas
- In:
Journal of banking & finance
50
(
2015
),
pp. 34-51
Persistent link: https://www.econbiz.de/10010509151
Saved in:
10
Discounting earnings with stochastic discount rates
Realdon, Marco
- In:
The European journal of finance
25
(
2019
)
10
,
pp. 910-936
Persistent link: https://www.econbiz.de/10012207041
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