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Evaluating real estate development project with Monte Carlo based binomial options pricing model
Yeh, I.-Cheng; Lien, Che-Hui - In: Applied economics letters 27 (2020) 4, pp. 307-324
Persistent link: https://www.econbiz.de/10012205448
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The value of the wildcard option in cash-settled American index options
Lasser, Dennis J.; Spizman, Joshua D. - In: Journal of financial markets 28 (2016), pp. 116-131
Persistent link: https://www.econbiz.de/10011722239
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On pricing Asian options under stochastic volatility
Russo, Emilio; Staino, Alessandro - In: The journal of derivatives : the official publication … 23 (2016) 4, pp. 7-19
Persistent link: https://www.econbiz.de/10011687238
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In-out parity relations for American-style barrier options
Ruas, João Pedro; Nunes, Joaõ Pedro Vidal; Simão, … - In: The journal of derivatives : the official publication … 23 (2016) 4, pp. 20-32
Persistent link: https://www.econbiz.de/10011687243
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An analytical method for multi-asset option pricing based on a single-factor model
Ye, Letian - In: The journal of derivatives : the official publication … 24 (2016) 1, pp. 7-16
Persistent link: https://www.econbiz.de/10011687324
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Comonotonic Monte Carlo simulation and its applications in option pricing and quantification of risk
Chateauneuf, Alain; Mostoufi, Mina; Vyncke, David - In: The journal of derivatives : the official publication … 24 (2016) 1, pp. 18-28
Persistent link: https://www.econbiz.de/10011687326
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Dynamic jump intensities and risk premiums in crude oil futures and options markets
Christoffersen, Peter F.; Jacobs, Kris; Li, Bingxin - In: The journal of derivatives : the official publication … 24 (2016) 2, pp. 8-30
Persistent link: https://www.econbiz.de/10011687332
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Option pricing via QUAD : from Black-Scholes-Merton to Heston with jumps
Su, Haozhe; Chen, Ding; Newton, David P. - In: The journal of derivatives : the official publication … 24 (2017) 3, pp. 9-27
Persistent link: https://www.econbiz.de/10011687339
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Analytical pricing of European bond options within one-factor quadratic term structure models
Leblon, Grégoire; Moraux, Franck - In: The journal of derivatives : the official publication … 24 (2017) 3, pp. 29-41
Persistent link: https://www.econbiz.de/10011687340
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Model-based versus model-free implied volatility : evidence from North American, European, and Asian index option markets
Biktimirov, Ernest N.; Wang, Chunrong - In: The journal of derivatives : the official publication … 24 (2017) 3, pp. 42-68
Persistent link: https://www.econbiz.de/10011687342