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Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model

Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 95-106

Persistent link: https://www.econbiz.de/10011392906

On two transform methods for the valuation of contingent claims

Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112

Persistent link: https://www.econbiz.de/10011398726

Option smiling when investors' estimates of asset volatility disagree

Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827

Persistent link: https://www.econbiz.de/10010419898

Pricing two-asset barrier options under stochastic correlation via perturbation

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44

Persistent link: https://www.econbiz.de/10011403748

Smiles & Smirks : A Tale of Factors

Ballotta, Laura - 2018

log-returns and their volatility with the aim of analysing which risk factors and which distribution features provide a …-returns and volatility offer the best trade-off between model performance and parsimony …

Persistent link: https://www.econbiz.de/10012933831

Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data

Xu, Zheng - In: Economics letters 120 (2013) 3, pp. 369-373

Persistent link: https://www.econbiz.de/10010128844

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

Approximate arbitrage-free option pricing under the SABR model

Yang, Nian; Chen, Nan; Liu, Yanchu; Wan, Xiangwei - In: Journal of economic dynamics & control 83 (2017), pp. 198-214

Persistent link: https://www.econbiz.de/10011915586

Using Option Pricing Theory to Infer about Equity Premiums

Aase, Knut K. - 2007

In this paper we make use of option pricing theory to infer about historical equity premiums. This we do by comparing the prices of an American perpetual put option computed using two different models: The first is the standard one with continuous, zero expectation, Gaussian noise, the second is...

Persistent link: https://www.econbiz.de/10014026288

An elementary introduction to mathematical finance

Ross, Sheldon M. - 2011 - Third edition

Persistent link: https://www.econbiz.de/10009009299

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