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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

Efficiently pricing double barrier derivatives in stochastic volatility models

Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216

Persistent link: https://www.econbiz.de/10010529630

A sharp approximation for ATM-forward option prices and implied volatilites

Stefanica, Dan; Radoičić, Radoš - In: International journal of financial engineering 3 (2016) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011532749

Robust option pricing

Bandi, Chaithanya; Bertsimas, Dimitris - In: European journal of operational research : EJOR 239 (2014) 3, pp. 842-853

Persistent link: https://www.econbiz.de/10010411468

Does model misspecification matter for hedging? : a computational finance experiment based approach

Sun, Youfa; Yuan, George; Guo, Shimin; Liu, Jianguo; … - In: International journal of financial engineering 2 (2015) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10011403136

Testing the Implied Volatility Smile of a Lognormal Distribution on a 3 – Month Lundbeck Option Call Option Contract Using the Brownian Motion

Guirguis, Michel - 2019

We analyze the implied volatility smile of a lognormal distribution on a 3 – month Lundbeck call option contract using the Brownian motion. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. The Black...

Persistent link: https://www.econbiz.de/10012890737

Corrections in Heston model derivations for bond options

Mandal, Satrajit; Bhattacharya, Sujoy - In: International journal of bonds and derivatives 4 (2018) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10012253419

High-order short-time expansions for ATM option prices of exponential Lévy models

Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 516-557

Persistent link: https://www.econbiz.de/10011583594

Capital structure effects on the prices of equity call options

Geske, Robert Leonard; Subrahmanyam, Avanidhar; Zhou, Yi - In: Journal of financial economics 121 (2016) 2, pp. 231-253

Persistent link: https://www.econbiz.de/10011590712

Wavelet-based option pricing : an empirical study

Liu, Xiaoquan; Cao, Yi; Ma, Chenghu; Shen, Liya - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1132-1142

Persistent link: https://www.econbiz.de/10011942861

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