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An empirical analysis of Black-Scholes Option Model with specific reference to IT stock options
Panduranga, V. - In: GITAM journal of management : a quarterly publication … 13 (2015) 2, pp. 218-225
Persistent link: https://www.econbiz.de/10011398439
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Explicit approximations of multi-asset option prices including Greeks
Börger, Reik H. - In: International Journal of Portfolio Analysis and Management 1 (2014) 4, pp. 314-329
Persistent link: https://www.econbiz.de/10010472815
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MaMaMoMaMa : BTC Options
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
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The Bitcoin options market : a first look at pricing and risk
Jalan, Akanksha; Matkovskyy, Roman; Aziz, Saqib - In: Applied economics 53 (2021) 17, pp. 2026-2041
Persistent link: https://www.econbiz.de/10012500934
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Private valuation of compensation stock options
Cueto, Diego C. - In: Economía coyuntural : revista de temas de conyunctura … 2 (2017) 2, pp. 1-30
Persistent link: https://www.econbiz.de/10012023014
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The implied volatility smirk in the Chinese equity options market
Yue, Tian; Gehricke, Sebastian A.; Zhang, Jin E.; Pan, … - In: Pacific-Basin finance journal 69 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10013369869
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Self-pricing options
Edelman, David - 2023
Persistent link: https://www.econbiz.de/10014477093
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Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim; Zimmer, Lukas; Merbecks, Constantin - In: Review of derivatives research 26 (2023) 2/3, pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
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Portfolios of American options under general preferences : results and counterexamples
Henderson, Vicky; Sun, Jia; Whalley, A. Elizabeth - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 533-566
Persistent link: https://www.econbiz.de/10010486003
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The value of being lucky : option backdating and nondiversifiable risk
Henderson, Vicky; Sun, Jia; Whalley, A. Elizabeth - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10012652678