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Mean-reverting stock model with floating interest rate in uncertain environment
Sun, Yiyao; Su, Taoyong - In: Fuzzy optimization and decision making : a journal of … 16 (2017) 2, pp. 235-255
Persistent link: https://www.econbiz.de/10011805601
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Detection of mispricing in the Black-Scholes PDE using the derivative-free nonlinear Kalman Filter
Rigatos, G.; Zervos, N. - In: Computational economics 50 (2017) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011762181
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A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes; Nutz, Marcel - In: Finance and stochastics 22 (2018) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
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Computing Greeks for Lévy models : the fourier transform approach
Olivera, Federico de; Mordecki, Ernesto - In: Trends in mathematical economics : dialogues between …, (pp. 99-121). 2016
Persistent link: https://www.econbiz.de/10011800675
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Numerical approximation to a variable-order time-fractional Black-Scholes model with applications in option pricing
Zhang, Meihui; Zheng, Xiangcheng - In: Computational economics 62 (2023) 3, pp. 1155-1175
Persistent link: https://www.econbiz.de/10014382889
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Dynamic asset pricing in a unified Bachelier-Black-Scholes-Erton model
Lindquist, W. Brent; Račev, Svetlozar T.; Gnawali, Jagdish - In: Risks : open access journal 12 (2024) 9, pp. 1-24
bonds or a single riskless bank account. We derive option price formulas and extend our analysis to the term structure of … multiplicative and additive deflator model for risk-neutral option pricing. …
Persistent link: https://www.econbiz.de/10015065971
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The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
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Option valuation with liquidity risk and jumps
Zhang, Hai; Ku, Hyejin - In: Applied economics letters 25 (2018) 6, pp. 381-387
Persistent link: https://www.econbiz.de/10011854549
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Generalized mean-reverting 4/2 Factor Model
Cheng, Yuyang; Escobar, Marcos; Gong, Zhenxian - In: Journal of risk and financial management : JRFM 12 (2019) 4/159, pp. 121
functions in closed-form, which help with pricing and risk measure calculations. In a numerical example, we demonstrate the … implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up …
Persistent link: https://www.econbiz.de/10012172988
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Deep equal risk pricing of financial derivatives with non-translation invariant risk measures
Carbonneau, Alexandre; Godin, Frédéric - In: Risks : open access journal 11 (2023) 8, pp. 1-27
The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP …) methodology for the valuation of financial derivatives. The ability to move beyond the class of convex risk measures considered in … several prior studies provides more flexibility within the pricing scheme. In particular, suitable choices for the risk …
Persistent link: https://www.econbiz.de/10014391590