Narrow search
Showing 1 - 10 of 293
Cover Image
Forward equations for option prices in semimartingale models
Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
Cover Image
Further evidence on pricing Indian stock call options using Black-Scholes option pricing model
Nagendran, R.; Venkateswar, Sankaran - In: Research bulletin / The Institute of Cost Accountants … 39 (2014), pp. 185-195
Persistent link: https://www.econbiz.de/10011420273
Cover Image
Local volatility calibration during turbulent periods
Skindilias, Konstantinos; Lo, Chia Chun - In: Review of quantitative finance and accounting 44 (2015) 3, pp. 425-444
Persistent link: https://www.econbiz.de/10011327607
Cover Image
Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
Vitiello, Luiz; Poon, Ser-Huang - In: Review of derivatives research 17 (2014) 2, pp. 241-259
Persistent link: https://www.econbiz.de/10010529622
Cover Image
Hermite binomial trees : a novel technique for derivatives pricing
Leccadito, Arturo; Toscano, Pietro; Tunaru, Radu S. - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10009707095
Cover Image
Realizing smiles : options pricing with relized volatility
Corsi, Fulvio; Fusari, Nicola; La Vecchia, Davide - In: Journal of financial economics 107 (2013) 2, pp. 284-304
Persistent link: https://www.econbiz.de/10009719740
Cover Image
Perpetual options on multiple underlyings
Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied mathematical finance 21 (2014) 1/2, pp. 174-200
Persistent link: https://www.econbiz.de/10010352003
Cover Image
Pricing perpetual American compound options under a matrix-exponential jump-diffusion model
Chang, Ming-Chi; Sheu, Yuan-Chung; Tsai, Ming-Yao - In: Applied mathematical finance 22 (2015) 5/6, pp. 553-575
Persistent link: https://www.econbiz.de/10011490624
Cover Image
Option pricing under truncated Gram-Charlier expansion
Lin, Shin-Hung; Huang, Hung-Hsi; Li, Sheng-Han - In: The North American journal of economics and finance : a … 32 (2015), pp. 77-97
Persistent link: https://www.econbiz.de/10011514435
Cover Image
Use of Bayesian estimates to determine the volatility parameter input in the black-scholes and binomial option pricing models
Ho, Shu Wing; Lee, Alan J.; Marsden, Alastair - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 74-96
The valuation of options and many other derivative instruments requires an estimation of exante or forward looking volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian volatility estimates more closely approximate the...
Persistent link: https://www.econbiz.de/10011555938