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Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Schlögl, Erik - In: Journal of economic dynamics & control 37 (2013) 3, pp. 611-632
Persistent link: https://www.econbiz.de/10009710479
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The Impact of Jumps on American Option Pricing : The S&P 100 Options Case
Kang, Boda - 2019
options are numerically evaluated by the Method of Lines. The calibration of these models to S&P 100 American options data … reveals that jumps, especially asset jumps, play an important role in improving the models' ability to fit market data …
Persistent link: https://www.econbiz.de/10012895029
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On Numerical Methods for Spread Options
Alfeus, Mesias - 2018
Spread options are multi-asset options whose payoffs depend on the difference of two underlying financial variables. In most cases, analytically closed form solutions for pricing such payoffs are not available, and the application of numerical pricing methods turns out to be non-trivial. We...
Persistent link: https://www.econbiz.de/10012930625
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On spread option pricing using two-dimensional fourier transform
Alfeus, Mesias; Schlögl, Erik - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-20
Persistent link: https://www.econbiz.de/10012153028
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Pricing American options under regime switching using method of lines
Chiarella, Carl; Nikitopoulos, Christina Sklibosios; … - 2016
Persistent link: https://www.econbiz.de/10011777915
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Hedging Futures Options with Stochastic Interest Rates
Cheng, Benjamin - 2016
This paper presents a simulation study of hedging long-dated futures options, in the Rabinovitch (1989) model which assumes correlated dynamics between spot asset prices and interest rates. Under this model and when the maturity of the hedging instruments match the maturity of the option,...
Persistent link: https://www.econbiz.de/10012982917
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Risk management and financial derivatives : an overview
Hammoudeh, Shawkat; McAleer, Michael - In: The North American journal of economics and finance : a … 25 (2013), pp. 109-115
Persistent link: https://www.econbiz.de/10009777841
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The fundamental equation in tourism finance
McAleer, Michael - 2015
tourism expenditure. The paper will concentrate on daily tourism expenditure, regardless of whether such data might be readily … available. If such data are not available, a practical method is presented to calculate the appropriate data. …
Persistent link: https://www.econbiz.de/10011391546
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The fundamental equation in tourism finance
McAleer, Michael - In: Journal of risk and financial management : JRFM 8 (2015) 4, pp. 369-374
tourism expenditure. The paper will concentrate on daily tourism expenditure, regardless of whether such data might be readily … available. If such data are not available, a practical method is presented to calculate the appropriate data. …
Persistent link: https://www.econbiz.de/10011545065
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Frontiers in time series and financial econometrics : an overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015
duration approach, refinements in maximum likelihood inference on spatial autocorrelation in panel data, statistical inference …
Persistent link: https://www.econbiz.de/10010484894