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Fat-tailed and skewed asset return distributions : implications for risk management, portfolio selection, and option pricing
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2005
Persistent link: https://www.econbiz.de/10002817530
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An improved least squares Monte Carlo valuation method based on heteroscedasticity
Fabozzi, Frank J.; Paletta, Tommaso; Tunaru, Radu - In: European journal of operational research : EJOR 263 (2017) 2, pp. 698-706
Persistent link: https://www.econbiz.de/10011794017
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Learning for infinitely divisible GARCH models in option pricing
Zhu, Fumin; Bianchi, Michele Leonardo; Kim, Young Shin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 3, pp. 35-62
Persistent link: https://www.econbiz.de/10012594154
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Statistical arbitrage in jump-diffusion models with compound Poisson processes
Akyildirim, Erdinc; Fabozzi, Frank J.; Goncu, Ahmet; … - In: Risk management decisions and value under uncertainty, (pp. 1357-1371). 2022
Persistent link: https://www.econbiz.de/10013342121
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The mathematics of financial modeling and investment management
Focardi, Sergio M.; Fabozzi, Frank J. - 2004
Persistent link: https://www.econbiz.de/10001788054
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Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Shirvani, … - In: Applied economics 54 (2022) 14, pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
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Modeling price dynamics, optimal portfolios, and option valuation for cryptoassets
Hu, Yuan; Lindquist, W. Brent; Fabozzi, Frank J. - In: The journal of alternative investments : JAI 24 (2021) 1, pp. 75-93
Persistent link: https://www.econbiz.de/10012613090
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Option Pricing in an Investment Risk-Return Setting
Kim, Young Shin - 2019
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We...
Persistent link: https://www.econbiz.de/10012865720
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Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan; Lindquist, W. Brent; Račev, Svetlozar T.; … - In: Journal of economic dynamics & control 137 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
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The handbook of fixed income options : strategies, pricing and applications
Fabozzi, Frank J. (ed.) - 1996 - Rev. ed.
Persistent link: https://www.econbiz.de/10013531679