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Pricing vulnerable options with jump clustering
Ma, Yong; Shrestha, Keshab; Xu, Weidong - In: The journal of futures markets 37 (2017) 12, pp. 1155-1178
Persistent link: https://www.econbiz.de/10011951026
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The information content of alternate implied volatility models : case of Indian markets
Kumar, A. Vinay; Jaiswal, Shikha - In: Journal of emerging market finance 12 (2013) 3, pp. 293-321
Persistent link: https://www.econbiz.de/10010360587
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The information content of option-based forecasts of volatility : evidence from the Italian stock market
Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546
Persistent link: https://www.econbiz.de/10010198265
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The continuous limit of weak GARCH
Alexander, Carol; Lazar, Emese - In: Econometric reviews 40 (2021) 2, pp. 197-216
Persistent link: https://www.econbiz.de/10012483807
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Closed-form solution for the critical stock price and the price of perpetual American call options via the improved Mellin transforms
Fadugba, Sunday Emmanuel; Nwozo, Chuma Raphael - In: International journal of financial markets and derivatives 6 (2018) 4, pp. 269-286
Persistent link: https://www.econbiz.de/10011996903
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American-type options ; Vol. 2
Silvestrov, Dmitrii - 2015
Persistent link: https://www.econbiz.de/10010498658
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Analytical approximations for the critical stock prices of American options : a performance comparison
Li, Minqiang - In: Review of derivatives research 13 (2010) 1, pp. 75-99
Persistent link: https://www.econbiz.de/10008695500
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Numerics of Implied Binomial Trees
Härdle, Wolfgang K. - 2017
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as "volatility smile". They provide a discrete...
Persistent link: https://www.econbiz.de/10012966270
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Asymmetric information about volatility : how does it affect implied volatility, option prices and market liquidity?
Nandi, Saikat - In: Review of derivatives research 3 (1999) 3, pp. 215-236
Persistent link: https://www.econbiz.de/10001493258
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Market volatility and feedback effects from dynamic hedging
Frey, Rüdiger - In: Mathematical finance : an international journal of … 7 (1997) 4, pp. 351-374
Persistent link: https://www.econbiz.de/10001232778