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Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set
Sala, Carlo; Barone-Adesi, Giovanni - 2015
martingale, as required by the theory, but a strict local martingale with consequences on the validity of the risk … filtration set so that an absolutely continuous strict local martingale, once projected on it, becomes continuous with jumps …
Persistent link: https://www.econbiz.de/10011506352
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A general closed form option pricing formula
Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - 2016 - This version: 10 March 2016
A new method to retrieve the risk-neutral probability measure from observed option prices is developed and a closed form pricing formula for European options is obtained by employing a modified Gram-Charlier series expansion, known as the Gauss-Hermite expansion. This expansion converges for...
Persistent link: https://www.econbiz.de/10011506359
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The forward smile in local-stochastic volatility models
Mazzon, Andrea; Pascucci, Andrea - In: The journal of computational finance 20 (2016/2017) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
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Path-dependent American options
Chevalier, Etienne; Ly Vath, Vathana; Mnif, Mohamed - In: The journal of computational finance 23 (2019) 1, pp. 61-95
Persistent link: https://www.econbiz.de/10012064988
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Path independence of exotic options and convergence of binomial approximations
Leduc, Guillaume; Palmer, Kenneth J. - In: The journal of computational finance 23 (2019) 2, pp. 73-102
Persistent link: https://www.econbiz.de/10012111264
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Volatility risk structure for options depending on extrema
Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
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Pricing American call options using the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário; Kord, Yaser; Ševčovič, … - In: The journal of computational finance 23 (2020) 4, pp. 93-113
Persistent link: https://www.econbiz.de/10012212488
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Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary; Peer, Arshad Ahmud Iqbal; Tadmor, Eitan - In: The journal of computational finance 22 (2018/2019) 5, pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
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Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos; Panz, Sven; Zagst, Rudi - In: The journal of computational finance 24 (2020) 2, pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
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Gradient boosting for quantitative finance
Davis, Jesse; Devos, Laurens; Reyners, Sofie; Schoutens, Wim - In: The journal of computational finance 24 (2021) 4, pp. 1-40
Persistent link: https://www.econbiz.de/10012544161