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Madan, Dilip B. - 2018

In this paper, we investigate the behavior of the bitcoin (BTC) price through the vanilla options available on the market. We calibrate a series of Markov models on the option surface. In particular, we consider the Black-Scholes model, Laplace model, five Variance Gamma related models and the...

Persistent link: https://www.econbiz.de/10012911038

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

Machine learning for quantitative finance : fast derivative pricing, hedging and fitting

De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643

Persistent link: https://www.econbiz.de/10012259802

Closed-form option pricing formulas with extreme events

Câmara, António; Heston, Steven L. - In: The journal of futures markets 28 (2008) 3, pp. 213-230

Persistent link: https://www.econbiz.de/10003699314

FX risk-neutral valuation relationships for the S u jump-diffusion family

Câmara, Ana; Câmara, António; Popova, Ivilina; … - In: International journal of finance & economics : IJFE 16 (2011) 4, pp. 339-356

Persistent link: https://www.econbiz.de/10009508891

Options on troubled stock

Câmara, António; Popova, Ivilina; Simkins, Betty J. - In: The journal of futures markets 34 (2014) 7, pp. 637-657

Persistent link: https://www.econbiz.de/10010507943

The Black-Scholes legacy : closed-form option pricing models

Câmara, António - In: Financial derivatives : pricing and risk management, (pp. 387-404). 2010

Persistent link: https://www.econbiz.de/10003920436

A new simple square root option pricing model

Câmara, António; Wang, Yaw-huei - In: The journal of futures markets 30 (2010) 11, pp. 1007-1025

Persistent link: https://www.econbiz.de/10008900941

Comment on "A new simple square root option pricing model"

Kim, Hwa-sung; Kang, Jangkoo; Shin, Jeongwoo - In: The journal of futures markets 32 (2012) 2, pp. 191-198

Persistent link: https://www.econbiz.de/10009487021

Option prices sustained by risk-preferences

Câmara, António - In: The journal of business : B 78 (2005) 5, pp. 1683-1708

Persistent link: https://www.econbiz.de/10003232488