Similar Search Results

A simple formula for the insurance premium in the Black-Scholes model

Brenner, Menachem; Subrahmanyam, Marti G. - In: Banking review 6 (1998), pp. 43-49

Persistent link: https://www.econbiz.de/10001354099

When are options overpriced? : The Black-Scholes model and alternative characterisations of the pricing kernel

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 1999

Persistent link: https://www.econbiz.de/10001378686

When are options overpriced? : The Black-Scholes model and alternative characteristics of the pricing kernel

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 1999

Persistent link: https://www.econbiz.de/10001378810

When are options overpriced? : the Black-Scholes model and alternative characterisations of the pricing kernel

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 1999 - This draft: January 15, 1999

An important determinant of option prices is the elasticity of the pricing kernel used to price all claims in the economy. In this paper, we first show that for a given forward price of the underlying asset, option prices are higher when the elasticity of the pricing kernel is declining than...

Persistent link: https://www.econbiz.de/10011545120

When are options overpriced? : The Black-Scholes model and alternative characterisations of the pricing kernel

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - In: European finance review : the official journal of the … 3 (1999) 1, pp. 79-102

Persistent link: https://www.econbiz.de/10001653159

Quanto option pricing in the presence of fat tails and asymmetric dependence

Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520

Persistent link: https://www.econbiz.de/10011499753

Quanto option pricing with Lévy models

Fallahgoul, Hasan A.; Kim, Young Shin; Fabozzi, Frank J.; … - In: Computational economics 53 (2019) 3, pp. 1279-1308

Persistent link: https://www.econbiz.de/10012135131

Tempered stable process, first passage time, and path-dependent option pricing

Kim, Young Shin - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 187-215

Persistent link: https://www.econbiz.de/10011993461

Long-range dependence in the risk-neutral measure for the market on Lehman Brothers Collapse

Kim, Young Shin - In: Applied mathematical finance 23 (2016) 3/4, pp. 309-322

Persistent link: https://www.econbiz.de/10011704246

Multi-purpose binomial model : fitting all moments to the underlying geometric Brownian motion

Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Economics letters 145 (2016), pp. 225-229

Persistent link: https://www.econbiz.de/10011618437