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Option pricing with a levy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations
Assonken, Patrick; Ladde, Gangaram S. - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-72
Persistent link: https://www.econbiz.de/10011419362
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The price of political uncertainty : theory and evidence from the option market
Kelly, Bryan T.; Pástor, Ľuboš; Veronesi, Pietro - 2014
Persistent link: https://www.econbiz.de/10010240002
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An option to cheat : an application of option theory to realize flipping in underpricing
Stojkovic, Jovan - 2013
The paper proposes a novel direction to rationalize and quantify investors' flipping behavior and its effect on underpricing in IPOs through the use of a structural approach mode. The outcome is a proxy value that replicates investors' flipping behavior. When tested empirically, the model...
Persistent link: https://www.econbiz.de/10010258983
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Pricing a European option in a black-scholes quanto market when stock price is a semimartingale
Offen, E. R.; Lungu, E. M. - In: Journal of mathematical finance 5 (2015) 3, pp. 286-303
Persistent link: https://www.econbiz.de/10011438535
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Asymmetric mispricing and regime-dependent dynamics in index futures and options markets
Lee, Jaeram; Ryu, Doojin - In: Asian economic journal : journal of the East Asian … 30 (2016) 1, pp. 47-65
Persistent link: https://www.econbiz.de/10011525887
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Short-term options : clienteles, market segmentation, and event trading
Chatrath, Arjun; Christie-David, Rohan; Miao, Hong; … - In: Journal of banking & finance 61 (2015), pp. 237-250
Persistent link: https://www.econbiz.de/10011545291
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Overreactions in the foreign currency options market
Han, Joong H.; Kang, Byung Jin; Chang, Ki Cheon; Byun, … - In: Asia-Pacific journal of financial studies 45 (2016) 3, pp. 380-404
Persistent link: https://www.econbiz.de/10011550792
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Stochastic volatility and leverage : application to a panel of S&P500 stocks
Ozturk, Serda Selin; Richard, Jean-François - In: Finance research letters 12 (2015), pp. 67-76
Persistent link: https://www.econbiz.de/10011552253
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The intrinsic bounds on the risk premium of Markovian pricing kernels
Han, Jihun; Park, Hyungbin - In: Finance research letters 13 (2015), pp. 36-44
Persistent link: https://www.econbiz.de/10011552334
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A study of the causality between convertible bond prices and stock prices in conversion-price reset periods, time-series and cross-section analyses
Wang, Ma-Ju; Lin, Yun-Wei; Lee, Tsun-Siou - In: Asia-Pacific journal of financial studies 44 (2015) 3, pp. 447-474
Persistent link: https://www.econbiz.de/10011459026