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Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models
Zhang, Ling; Lai, Yongzeng; Zhang, Shuhua; Li, Lin - In: The North American journal of economics and finance : a … 47 (2019), pp. 602-621
Persistent link: https://www.econbiz.de/10012120139
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An analytical approximation approach for pricing European options in a two-price economy
Li, Zhe; Zhang, Weiguo; Zhang, Yue; Yi, Zhigao - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-12
Persistent link: https://www.econbiz.de/10012201210
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Option pricing under truncated Gram-Charlier expansion
Lin, Shin-Hung; Huang, Hung-Hsi; Li, Sheng-Han - In: The North American journal of economics and finance : a … 32 (2015), pp. 77-97
Persistent link: https://www.econbiz.de/10011514435
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Comparative empirical study of binomial call-option pricing methods using S&P 500 index data
Shvimer, Yossi; Herbon, Avi - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012659592
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Stochastic interest rates under rational inattention
Zhang, Yuhua; Niu, Yingjie; Wu, Ting - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012664614
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The effect of market sentiment and information asymmetry on option pricing
Zghal, Imen; Ben Hamad, Salah; Eleuch, Hichem; Nobanee, … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012664661
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Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach
Cortés, Lina M.; Mora-Valencia, Andrés; Perote, Javier - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012666975
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European quanto option pricing in presence of liquidity risk
Li, Zhe; Zhang, Wei-guo; Liu, Yong-Jun - In: The North American journal of economics and finance : a … 45 (2018), pp. 230-244
Persistent link: https://www.econbiz.de/10012117776
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Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends
Ma, Jingtang; Fan, Jiacheng - In: The North American journal of economics and finance : a … 37 (2016), pp. 128-147
Persistent link: https://www.econbiz.de/10011672905
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Dupire's formulas in the Piterbarg option pricing model
Labuschagne, Coenraad C. A.; Boetticher, Sven T. von - In: The North American journal of economics and finance : a … 38 (2016), pp. 148-162
Persistent link: https://www.econbiz.de/10011673354