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Creation and valuation of instruments compensating lower share prices with the help of black-scholes formula
Zaremba, Leszek - In: Foundations of Management : the journal of Warsaw … 9 (2017) 1, pp. 25-32
In this paper, we present a 1-period model of the Polish financial market from the view point of KGHM, the Polish largest listed company that suffered huge declines in share prices from 125 PLN in August 2015 to 60 PLN in January 2015. Our goal is to show how KGHM might create a portfolio (with...
Persistent link: https://www.econbiz.de/10011856225
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The entropy theory of stock option pricing
Gulko, Les - In: International journal of theoretical and applied finance 2 (1999) 3, pp. 331-355
Persistent link: https://www.econbiz.de/10001437414
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The entropy theory of bond option pricing
Gulko, Les - In: International journal of theoretical and applied finance 5 (2002) 4, pp. 355-383
Persistent link: https://www.econbiz.de/10001682218
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Game theoretic analysis of incomplete markets : emergence of probabilities, nonlinear and fractional Black-Scholes equations
Kolokolʹcov, Vassilij N. - In: Risk and decision analysis 4 (2013) 3, pp. 131-161
Persistent link: https://www.econbiz.de/10010190161
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Analyse der Effektivität von Absicherungsstrategien in unvollständigen Finanzmarktmodellen
Dudenhausen, Antje - 2001
Persistent link: https://www.econbiz.de/10001645751
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Hedging of time discrete auto-regressive stochastic volatility options
Badescu, Alexandru; Castillo, Joan del; Ortega, Juan-Pablo - In: Annals of economics and statistics 123/124 (2016), pp. 271-306
Persistent link: https://www.econbiz.de/10011592752
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Option pricing under GARCH models with Hansen's skewed-t distributed innovations
Liu, Yanxin; Siu-Hang Li, Johnny; Ng, Andrew Cheuk-Yin - In: The North American journal of economics and finance : a … 31 (2015), pp. 108-125
Persistent link: https://www.econbiz.de/10011511067
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Volatility analysis of Shanghai composite index and financial crises
Sheraz, Muhammad; Breda, Vasile - 2016
Persistent link: https://www.econbiz.de/10013164574
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Discontinuous payoff option pricing by Mellin transform : a probabilistic approach
Gzyl, Henryk; Milev, M.; Tagliani, Aldo - In: Finance research letters 20 (2017), pp. 281-288
Persistent link: https://www.econbiz.de/10011806950
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A mean bound financial model and options pricing
Li, Yu - In: International journal of financial engineering 4 (2017) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10011807105