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Average interest
Chacko, George; Das, Sanjiv R. - 1997
Persistent link: https://www.econbiz.de/10000630555
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Construction and interpretation of model-free implied volatility
Andersen, Torben; Bondarenko, Oleg - 2007
Persistent link: https://www.econbiz.de/10003556632
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Laplace transform identities for diffusions, with applications to rebates and barrier options
Hulley, Hardy; Platen, Eckhard - 2007
Persistent link: https://www.econbiz.de/10003856697
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The British Asian option
Glover, Kristoffer; Peskir, Goran; Samee, Farman - 2009
Persistent link: https://www.econbiz.de/10003857528
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Valuation of employee stock options using the exercise multiple approach and life tables
Konstandatos, Otto; Kyng, Timothy; Bienek, Tobias - 2015
Persistent link: https://www.econbiz.de/10011344313
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Demand-based option pricing
Garleanu, Nicolae; Pedersen, Lasse Heje; Poteshman, Allen M. - 2005
Persistent link: https://www.econbiz.de/10003240184
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McKean's method applied to American call options on jump-diffusion processes
Chiarella, Carl; Ziogas, Andrew - 2004
Persistent link: https://www.econbiz.de/10002251066
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Too-Systemic-To-Fail : What Option Markets Imply About Sector-Wide Government Guarantees
Kelly, Bryan T. - 2011
Investors in option markets price in a substantial collective government bailout guarantee in the financial sector, which puts a floor on the equity value of the financial sector as a whole, but not on the value of the individual firms. The guarantee makes put options on the financial sector...
Persistent link: https://www.econbiz.de/10013123683
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Mispricing of S&P 500 Index Options
Constantinides, George M. - 2010
distribution of the index return is estimated from time-series data. Substantial violations by post-crash OTM calls contradict the …-2006 which may be due to the lower quality of the data but, in any case, does not provide evidence that the options market is …
Persistent link: https://www.econbiz.de/10012758035
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Demand-Based Option Pricing
Garleanu, Nicolae - 2010
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10012761687