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Option valuation with volatility components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - 2015
Persistent link: https://www.econbiz.de/10011398641
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Developing an optimized artificial intelligence model for S&P 500 option pricing : a hybrid GARCH model
Hajizadeh, Ehsan - In: International journal of financial engineering 7 (2020) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10012603039
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Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading
Liu, Zhibin; Huang, Shang-Ho - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012667720
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Pricing and hedging options with GARCH-stable proxy volatilities
Mozumder, Sharif; Kabir, Humayun; Dempsey, Michael - In: Applied economics 50 (2018) 56, pp. 6034-6046
Persistent link: https://www.econbiz.de/10012063384
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Exploring option pricing and hedging via volatility asymmetry
Casas, Isabel; Veiga, Helena - In: Computational economics 57 (2021) 4, pp. 1015-1039
Persistent link: https://www.econbiz.de/10012543248
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Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
Kao, Lie Jane - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10009624510
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Real options or disaster risk? : distinguishing uncertainty effects on investment
Dihle, Hanno; Mentges, Rafael - In: Applied economics 50 (2018) 34/35, pp. 3771-3786
Persistent link: https://www.econbiz.de/10012059410
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Two-dimensional risk neutral valuation relationships for the pricing of options
Franke, Günter; Huang, James; Stapleton, Richard C. - 2007
parameters. When certain conditions are met,atwo-dimensional risk-neutral valuation relationship exists for the pricing of these … the assetisthe sameasitwouldbe under risk neutrality.In this classofmodels,the priceof the underlying asset and that of …
Persistent link: https://www.econbiz.de/10003876685
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FX risk-neutral valuation relationships for the S u jump-diffusion family
Câmara, Ana; Câmara, António; Popova, Ivilina; … - In: International journal of finance & economics : IJFE 16 (2011) 4, pp. 339-356
Persistent link: https://www.econbiz.de/10009508891
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The instantaneous return and volatility of a covered call position
Edwards, Craig Steven - In: Applied economics letters 22 (2015) 13/15, pp. 1059-1063
Persistent link: https://www.econbiz.de/10011312207