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The value of options for time charterparty extension : an artificial neural networks (ANN) approach
Yun, Heesung; Lim, Sangseop; Lee, Kihwan - In: Maritime policy and management : MPM 45 (2018) 1/2, pp. 197-210
Persistent link: https://www.econbiz.de/10011879754
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A generalized model for pricing financial derivatives consistent with efficient markets hypothesis : a refinement of the black-scholes model
Lindgren, Jussi - In: Risks : open access journal 11 (2023) 2, pp. 1-5
This research article provides criticism and arguments why the canonical framework for derivatives pricing is incomplete and why the delta-hedging approach is not appropriate. An argument is put forward, based on the efficient market hypothesis, why a proper risk-adjusted discount rate should...
Persistent link: https://www.econbiz.de/10014233168
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Contingent claims and market completeness in a stochastic volatility model
Romano, Marc; Touzi, Nizar - 1993
Persistent link: https://www.econbiz.de/10000874372
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Il mercato azionario
Caparrelli, Franco - 1995 - 1. ed
Persistent link: https://www.econbiz.de/10000960606
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The term structure of implied probability and investment strategies in the KOSPI200 options market
Kim, Moo-sung; Kang, Tae-hun - In: Ōsaka Daigaku keizaigaku 57 (2008) 4, pp. 62-83
Persistent link: https://www.econbiz.de/10003739668
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The model-free implied volatility and its information content
Jiang, George J.; Tian, Yisong Sam - In: The review of financial studies 18 (2005) 4, pp. 1305-1342
Persistent link: https://www.econbiz.de/10003352823
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Inefficient markets and credit risk modeling: Why Merton's model failed
Majumder, Debasish - In: Journal of policy modeling : JPMOD ; a social science … 28 (2006) 3, pp. 307-318
Persistent link: https://www.econbiz.de/10003307107
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Paul Samuelson and financial economics
Merton, Robert C. - In: The American economist : journal of Omnicron Delta … 50 (2006) 2, pp. 9-31
Persistent link: https://www.econbiz.de/10003429297
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The value of tradeability
Chesney, Marc; Kempf, Alexander - 2010
This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...
Persistent link: https://www.econbiz.de/10008666521