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Strategic interactions and negative oil prices

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Option pricing based on alternative jump size distributions

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Margins on short sales and equilibrium price indeterminacy

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Introduction to quantum probability theory and its economic applications

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Wavelet-based option pricing : an empirical study

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The interaction between security lending market and security trading market

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w-MPS risk aversion and the shadow CAPM : theory and empirical evidence

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Risk aversion, fanning preference and volatility smirk on S&P 500 index options

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PREFERENCES, LÉVY JUMPS AND OPTION PRICING

MA, CHENGHU - In: Annals of Financial Economics (AFE) 03 (2007) 01, pp. 0750001-1

This paper derives an equilibrium formula for pricing European options and other contingent claims which allows incorporating impacts of several important economic variable on security prices including, among others, representative agent preferences, future volatility and rare jump events. The...

Persistent link: https://www.econbiz.de/10010936584