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To expand and to abandon : real options under asset variance risk premium
Alibeiki, Hedayat; Lotfaliei, Babak - In: European journal of operational research : EJOR 300 (2022) 2, pp. 771-787
Persistent link: https://www.econbiz.de/10013207304
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Robust option pricing
Bandi, Chaithanya; Bertsimas, Dimitris - In: European journal of operational research : EJOR 239 (2014) 3, pp. 842-853
Persistent link: https://www.econbiz.de/10010411468
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Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, … - In: European journal of operational research : EJOR 187 (2008) 2, pp. 525-542
Persistent link: https://www.econbiz.de/10003769344
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Pricing exotic derivatives exploiting structure
Sesana, Debora; Marazzina, Daniele; Fusai, Gianluca - In: European journal of operational research : EJOR 236 (2014) 1, pp. 369-381
Persistent link: https://www.econbiz.de/10010361703
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A new elementary geometric approach to option pricing bounds in discrete time models
Braouezec, Yann; Grunspan, Cyril - In: European journal of operational research : EJOR 249 (2016) 1, pp. 270-280
Persistent link: https://www.econbiz.de/10011435842
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Pricing VXX option with default risk and positive volatility skew
Bao, Qunfang; Li, Shenghong; Gong, Donggeng - In: European journal of operational research : EJOR 223 (2012) 1, pp. 246-255
Persistent link: https://www.econbiz.de/10009613957
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Model risk in the over-the-counter market
Lazar, Emese; Qi, Shuyuan - In: European journal of operational research : EJOR 298 (2022) 2, pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
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The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele - In: European journal of operational research : EJOR 293 (2021) 1, pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
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Option valuation under no-arbitrage constraints with neural networks
Cao, Yi; Liu, Xiaoquan; Zhai, Jia - In: European journal of operational research : EJOR 293 (2021) 1, pp. 361-374
Persistent link: https://www.econbiz.de/10012502485
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VIX derivatives, hedging and vol-of-vol risk
Kaeck, Andreas; Seeger, Norman - In: European journal of operational research : EJOR 283 (2020) 2, pp. 767-782
Persistent link: https://www.econbiz.de/10012294919