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Static hedging of Asian options under Lévy models

Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc J.; … - In: The journal of derivatives : the official publication … 12 (2004) 3, pp. 63-72

Persistent link: https://www.econbiz.de/10002672510

Static hedging of Asian options under Lévy models : the comonotonicity approach

Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc J.; … - 2003

Persistent link: https://www.econbiz.de/10001938553

MaMaMoMaMa : BTC Options

Madan, Dilip B. - 2018

, Laplace model, five Variance Gamma related models and the Heston model. We examine their pricing performance and the stability …

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

It takes two to Tango : estimation of the zero-risk premium strike of a call option via joint physical and pricing density modeling

Höcht, Stephan; Madan, Dilip B.; Schoutens, Wim; … - In: Risks : open access journal 9 (2021) 11, pp. 1-19

- and Q-world are equal. To fully exploit the insights of the option market we deploy the Tilted Bilateral Gamma pricing … model to jointly estimate the physical and pricing measure from option prices. We illustrate the proposed pricing strategy …

Persistent link: https://www.econbiz.de/10012704022

Performance of advanced stock price models when it becomes exotic : an empirical study

Junike, Gero; Schoutens, Wim; Stier, Hauke - In: Annals of finance 18 (2022) 1, pp. 109-119

Persistent link: https://www.econbiz.de/10013194639

The [beta]-variance gamma model

Schoutens, Wim; Van Damme, Geert - In: Review of derivatives research 14 (2011) 3, pp. 263-282

Persistent link: https://www.econbiz.de/10009349988

Implied liquidity risk premia in option markets

Guillaume, Florence; Junike, Gero; Leoni, Peter; … - In: Annals of finance 15 (2019) 2, pp. 233-246

Persistent link: https://www.econbiz.de/10012058223

American and exotic options in a market with frictions

Junike, Gero; Arratia, Argimiro; Cabaña, Alejandra; … - In: The European journal of finance 26 (2020) 2/3, pp. 179-199

Persistent link: https://www.econbiz.de/10012207193

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

Option Returns

Madan, Dilip B.; Schoutens, Wim; Wang, King - 2022

Nonlinear martingale theory is used to form lower and upper price processes straddling a martingale. The martingale return is then modeled in terms of risk charges associated with the returns on the straddling lower and upper processes. The move to physically expected returns is made via the...

Persistent link: https://www.econbiz.de/10013403670