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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
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Is the nonlinear hedge of options more effective? : evidence from the SSE 50 ETF options in China
Yu, Xiao-Jian; Wang, Zi-Ling; Xiao, Wei-Lin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012665985
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Reasonable evaluation of VIX options for the Taiwan stock index
Huang, Hung-Hsi; Lin, Shin-Hung; Wang, Chiu-Ping - In: The North American journal of economics and finance : a … 48 (2019), pp. 111-130
Persistent link: https://www.econbiz.de/10012120217
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Psychological barriers and option pricing in a local volatility model
Li, Dan; Liu, Lixin; Xu, Guangli - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014246900
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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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Generalizing the reflection principle of Brownian motion, and closed-form pricing of barrier options and autocallable investments
Lee, Hangsuck; Ahn, Soohan; Ko, Bangwon - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-13
Persistent link: https://www.econbiz.de/10012203169
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Valuing lookback options with barrier
Lee, Hangsuck; Kim, Eunchae; Ko, Bangwon - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013449142
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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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Consistent pricing of VIX options with the Hawkes jump-diffusion model
Jing, Bo; Li, Shenghong; Ma, Yong - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012821987
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Static hedging of chained-type barrier options
Jun, Doobae; Ku, Hyejin - In: The North American journal of economics and finance : a … 33 (2015), pp. 317-327
Persistent link: https://www.econbiz.de/10011535249