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Evaluation of the reverse mortgage option in Korea : a long straddle perspective
Choi, Kyung Jin; Lim, Byungkwon; Park, Jaehwan - In: International Journal of Financial Studies : open … 8 (2020) 3/55, pp. 1-14
This study explored the option value embedded in a reverse mortgage in Korea through an empirical analysis, using the … Black-Scholes option-pricing model. The value of a reverse mortgage is affected by the variation in house prices. However … maturity, on the option value of a reverse mortgage. The sensitivity results of the key variables supported economic rationales …
Persistent link: https://www.econbiz.de/10012291906
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First-order calculus and option pricing
Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010508100
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A PDE approach to Asian options : analytical and numerical evidence
Alziary, Bénédicte; Décamps, Jean-Paul; Koehl, … - 1996
Persistent link: https://www.econbiz.de/10000936713
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Bewertung von Optionen unter Transaktionskosten : mit 21 Tabellen
Reiß, Ariane - 1998
Persistent link: https://www.econbiz.de/10000975258
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Valuation of barrier options in a Black-Scholes setup with jump risk
Leisen, Dietmar - 1999
Persistent link: https://www.econbiz.de/10001355949
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New insights into smile, mispricing, and value at risk : the hyperbolic model
Eberlein, Ernst - In: The journal of business : B 71 (1998) 3, pp. 371-405
Persistent link: https://www.econbiz.de/10001247514
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Option pricing
Jarrow, Robert A.; Rudd, Andrew - 1983
Persistent link: https://www.econbiz.de/10000065976
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Conjoint analysis of option and volatility models : empirical evidence from recent financial upheavals in India
Singh, Vipul Kumar - In: Journal of emerging market finance 14 (2015) 3, pp. 258-289
Persistent link: https://www.econbiz.de/10011430608
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Closed-form interpolation-based formulas for European call options written on defaultable assets
Orosi, Greg - In: The journal of asset management 16 (2015) 4, pp. 236-242
Persistent link: https://www.econbiz.de/10011413347
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On pricing options with stressed-beta in a reduced form model
Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of derivatives research 18 (2015) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011414105