, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as …

Annuity Option. Finally, we illustrate with historical UK interest rate data from the period1980 until 2000 that the static …

introduce the new full truncation scheme, tailored to minimise the upward bias found when pricing European options. Thirdly and …

-free and risk-neutral, derived from available option data. Depending on its particular de…nition, each index represents a …

explosion of the characteristic function. This allows for robust and fast option pricing for almost all levels of strikes and … calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour …