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Numerics of implied binomial trees
Härdle, Wolfgang (contributor);  … - 2008
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as "volatility smile". They provide a discrete...
Persistent link: https://www.econbiz.de/10003727608
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Taking into account extreme events in European option pricing
Idier, Julien; Jardet, Caroline; LeFol, Gaëlle; … - In: Financial stability review : FSR 12 (2008), pp. 39-51
Persistent link: https://www.econbiz.de/10003772089
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Implizite Volatilitäten von Eurex Optionen : eine empirische Untersuchung zur Fair Value Ermittlung von OTC Aktienoptionen auf Basis der impliziten Volatilität von Eurex Aktienopti...
Spindler, Oliver - In: Beiträge zu aktuellen Finanzmarktthemen : Bondholder …, (pp. 191-311). 2007
Persistent link: https://www.econbiz.de/10003477333
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Recovering objective market expectations from option prices for forecasting and risk assessment
Ivanova, Vesela - 2014
Persistent link: https://www.econbiz.de/10010519334
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Numerics of implied binomial trees
Härdle, Wolfgang; Mysicková, Alena - In: Applied quantitative finance, (pp. 209-231). 2009
Persistent link: https://www.econbiz.de/10003746028
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Market-conform valuation of options
Herwig, Tobias - 2006
Persistent link: https://www.econbiz.de/10003204143
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Margin exceedences for European stock index futures using extreme value theory
Cotter, John - In: Journal of banking & finance 25 (2001) 8, pp. 1475-1502
Persistent link: https://www.econbiz.de/10001594010
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Die Bewertung von Convertible und Exchangeable Bonds bei stochastischer Zinsentwicklung
Wöster, Christoph - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10002006130